The DateTimeEditBox merges the MonthCalendar.SelectedDate with it's current value, so the MonthCalendar isn't trying to preserve the time.
You can achieve something similar using an attached behavior. I'd create an attached property called SelectedDateTime and then bind to that. The behavior would then keep MonthCalendar.SelectedDate in sync by attaching to the MonthCalendar.SelectionChanged.
I've marked down a TODO item to see about adding this support natively, but we'd have to work out how to handle multiple selections.