it works on;y if you disable theme. you also need to make a size change to make it work
SetWindowTheme(MonthCalendar1.Handle, '', '');
MonthCalendar1.ScaleBy(190, 100);
MonthCalendar1.Width := MonthCalendar1.Width + 1;
MonthCalendar1.Width := MonthCalendar1.Width - 1;
Thanks to @Sertac for hints