Why not just using:
LOAD date(floor(monthstart([Entrada Desenv.])),'MM/YYYY') AS DATA_SELECAO
LOAD distinct DATA_SELECAO RESIDENT TMP;
DROP TABLE TMP;
with adjusting your YearMonth field because timestamp() will only format a field but it willbe remain a timestamp.
you need to use function floor like Marcus show you other wise it will keep all valur in a field (for example date as timestamp is save as 41909.987 and even if it will show only 27/09/2014 it will still save as '41909.987'and date for example 41908.087 will be as other date even if is 26/09/2014 as well. even if its the same month
you can use as well function MonthName
MonthName(date([Entrada Desenv.])) AS DATA_SELECAO
Normally the distinct keyword itself shouldn't lead to an error in this case but within your first approach there shouldn't be a table DATA_SELECAO.
The reason for this is that this table has the same data-structure like the table TMP and will be automatically concateneted with TMP and afterwards TMP is dropped - so that there would be no DATA_SELECAO and TMP tables within the datamodel. And this might be your displayed error - because the field for it is missing.