my guess is its a composite control which means you aren't seeing the TEDIT part of the TDATEedit but the control it lives on.
I didn't look at the source so I can only bet that its a TPanel.
In which case the TEDIT has the focus and you aren't getting jack!
I suppose the TEDIT part could of called the KeyDown but it looks like it maybe calling the OnKeyDown event instead to emulate a key press for user code..
Instead of overriding the KeyDown implement a OnKeyDown that carries the (Sender:.....) and set it...