the drop down will show you only the valid dates. however since the calendar will not show gaps in the dates, it shows all the dates in a month and yes, if no data exists for that day in the month then your charts, etc will be blank which is what it should be. it may be a bit confusing to the user if they select a date and you report a different date. maybe what you can do is flash a warning that the date they selected will not result in any measure.
if you really want to show the prior date that has a value then you can build a bridge that links dates with no values to the prior date that has a value. but there is danger there as you may report a dates with a number that is incorrect. so i would not recommend that.
