Both TDateTimePicker and TDateEdit are custom controls, so I would be very surprised if, on Cocoa only, they use some native underlying control.
Just to be clear, do you mean actually that they use this underlying control for the pop-up calendar?
Because, it is true that these controls do use LCL's TCalendar, which really is implemented with underlying native calendar.
From the information you gave, it is not easy to tell which control should the bug address. I would first suspect that the bug is in TCalendar's implementation of ScreenToClient on Cocoa.
I would like to help, but I don't have Mac and I have never used one, so I cannot test myself.