As the calendar is written, the user can select a blank cell, but the date does not change. It makes sense, then, to disallow selection of the blank cells. 

To control whether a given cell is selectable, override the SelectCell method of the grid. 

SelectCell is a function that takes a column and row as parameters, and returns a Boolean value indicating whether the specified cell is selectable. 

You can override SelectCell to return False if the cell does not contain a valid date:

function TSampleCalendar.SelectCell(ACol, ARow: Longint): Boolean;
begin
  if DayNum(ACol, ARow) = -1 then Result := False            { -1 indicates invalid date }
  else Result := inherited SelectCell(ACol, ARow);      { otherwise, use inherited value }
end;

bool __fastcall TSampleCalendar::SelectCell(int ACol, int ARow)
{
  if (DayNum(ACol,ARow) == -1) return false;          // -1 indicates invalid date
  else return TCustomGrid::SelectCell(ACol, ARow);    // otherwise, use inherited value
}

Now if the user clicks a blank cell or tries to move to one with an arrow key, the calendar leaves the current cell selected.