Working fine with Laz 4.4, too.
What are you doing, when you try to change the calendar's date?
Are you sure that your code is called? Click in the left sidebar of the editor ("gutter") at the height of your line "DTPModifiedData.DateTime := Date-1" to create a breakpoint (the line will have a red background then) and run your code. The application should stop at the breakpoint line when you want to change the date. (Click on the red bullet of the breakpoint again to remove the breakpoint afterwards.)