The DateTimePicker is very limited in its styling since it is what comes built into the operating system. This means that Windows Forms inherited all its limitations that the shell team created (or didn't create -- like flat style features).

There haven't been any improvements to the DateTimePicker for this release. The main reason is that the current DateTimePicker and MonthCalendar controls provide ~80% of the functionality that users need, so we heard from many customers that they would rather us spend our time and money writing new controls (like new menus/toolbars & a new grid) instead of rewriting the DateTimePicker and MonthCalendar controls from scratch.