WORKAROUND 1:
The date format can be adjusted from within the control panel. Please go to the following location: Control Panel -> regional settings -> customize -> date tab -> short date format. Note that Microsoft does not offer dd-mmm-yyyy.
WORKAROUND 2:
Execute the query as script (f5). The date can be highlighted and copied from the first tab(Output) or select the second tab, which is another grid. This Grid does not attempt to auto select a different date or convert the date to the Windows default.
