That's the correct number format, so there must be an error in the data. Now that the number format is already applied to the cell, try typing a date in again. If it displays correctly then, your current values are inaccurate and will need correcting.
One way to correct data values is to highlight them all, then select DATA > TEXT TO COLUMNS > DELIMITED > NEXT > NEXT > Column Data Format: Date MDY > Finish
Then check them again.