This setting controls the display of the date, not the format that must be used to enter the date in the first place.
So even though your date is set to display the date using Jan 5, 2015, you still have enter it as 1/5/2015 or whatever format is specified for your system in its locality settings.
Thanks Phil. That one was bugging me for a while. I didn't realize that I had to insert a "/" between each of the three date elements in the short date format in the system preferences dialogue above. Works fine now.