If the DateTimeEditBox dropdown is shown when the control does NOT have focus, then the dropdown can't be dismissed with the Escape key because clicking the dropdown arrow doesn't set focus to the edit box.
For other controls with dropdowns like ColorEditBox or BrushEditBox, clicking the arrow does set focus so the dropdown can be dismissed. Its also OK if focus is already in the DateTimeEditBox when the arrow is clicked.
This is easy to reproduce in the Sample Browser - go to the basic DateTimeEditBox sample and set focus to the Format or Editable Parts controls on the right. Click the arrow on the edit box to show the dropdown, then press Escape - nothing happens.
We have a work around to call Focus() in a DropDownOpened event handler, so not a high priority issue