You use the plain install right? (not the website interface included in 3.9 and up, and not ezflow included in 4.0 and up).
If so, it seems that the template you need to look into is design/standard/templates/navigator/monthview.tpl If there really is a bug there, you should report it in the issue tracker, preferably with a patch :)
I’m using eZ 3.9.2 with website interface as functionality (web edit toolbar) and my own pagelayout. In ezwebin extension there aren’t any calendar-related files, I think. My calendar tool uses two templates: