Does the calendar support European date formats?
Yes. Most of the dates in the calendar will reflect the date format set up on your computer without you having to do anything.
The only exception to this are the tool tips and the big white-on-blue display in the calendar header. That date is a calc field and we've hard coded the date formats into the calc so we could display things like "Week of..."
You'll need to change the formatting of that display in the calc by editing the field definition for CalendarInterface::DateDisplayCalc
For the tool tips you'll either need to change the calc used to format those dates the way you'd like... or clone the file.
Cloning the file
Note that you can always make a clone of the file in order to reset the file's location information. (File / Save a Copy As... / Clone) As soon as you open that clone the file will think it was created with your date formats as its default. (Creating a clone erases all the event records in the calendar, but the calendar's Upon Opening script recreates the other records the calendar needs to operate.)