Hi Joe,
Currently theming is disabled on the EventCalendar. I'm adding a config option to enable it, you can do the same in your copy right now by editing the EventCalendarModule.ascx
replace EnabledTheming='false' with
EnableTheming='<%# ConfigHelper.GetBoolProperty("EnableThemeInEventCalendar", false) %>' SkinID="eventcal"
put <add key="EnableThemeInEventCalendar" value="true" /> in user.config
Then in theme.skin uncomment the section for <mp:DataCalendar and add SkinID="eventcal" like:
<mp:DataCalendar runat="server" SkinID="eventcal"
...
Now editing the theme may help you but it does produce bulkier markup.
Note that in Medium Trust all sites use the /App_Themes/Default/theme.skin file instead of the one in the skin folder.
That style is generated by the default theme even when theming is not enabled, it is just built into the ASP.NET calendar (which is the base class for mp:DataCalendar) to have that hard coded markup.
Hope it helps,
Joe