If you use the International format region pop-up menu choice United Kingdom (System Preferences > International > Formats > Region > United Kingdom), months in which Sunday is the 1st of the month do not display Sunday in Date & Time preferences. Monday the 2nd, followed by all other days of the month, appears in the Date & Time calendar. This can happen in Mac OS X 10.4 through 10.4.2. It doesn't happen if any other region is selected in International preferences.
For example, with United Kingdom selected in the Region pop-up menu of International preferences Format tab, May 1st, 2005 and January 1, 2006 do not appear in the Date & Time preferences calendar. These months start with Monday the 2nd instead.
Download and install the Mac OS 10.4.3 Update, or later.