I am seeing the same effect here. I believe this is by design, since on a default install of Windows XP, which sets the region to United States the default date ordering is MM/DD/YYYY, so the snippet never respects the locale setting, except by "accident".
As I am sure you are aware this date format means dates can be sorted alphabetically, and they end up in date order, which can be a very useful feature.
This slightly longer VA snippet code produces the date in the correct format: $DAY_02$/$MONTH_02$/$YEAR$
I dont buy your "by design" idea. Of course any date format can be built by concatenating date parts, though my feeling says that a $DATE$ should insert the date in locale format, except if specified differently. And this is how 90% of software handle it.
Feels to me like a flaw by design. Should at least mention the format in the tooltip/helptip/info when its not supposed to be locale aware.