Just to chime in here, I think this must be a common area of confusion when using ActiveX controls (at least it was/is for me!). As I understand it, when you place an ActiveX control and view its property sheet, you're looking at the control's "wrapper" - the interface between the control and Access, so to speak. So the events, you see listed are not necessarily the events available to the control. In fact, to avoid name conflicts with the wrapper, the events in the control itself are generally NOT the same as those displayed in the property sheet. And in my limited experience, trying to hang code on the wrapper's events produces sometimes unpredictable and undesirable results.
So, how to find out what properties, methods, and events are actually available to the control? Documentation in some cases. Another good source is the Object Browser in the VBE window. For instance, to find the goodies in the Date Time Picker, scroll down in the Classes list on the left side of the Object Browser and click on DTPicker. If you're very, very fortunate, you can right click on one of the members of a class, select "Help" from the popup menu, and actually get to a help file. And as Beejay suggested, in the VBE code window, selecting the control from the left dropdown will reveal its events, methods, and properties in the right-hand dropdown (and the events of the wrapper, too).
Also, to access the ActiveX control's properties, from the control's property sheet, the "All" tab, scroll down and find the "Custom" field, click in it, then click on the 3-dot button to the right of the field. Many ActiveX controls will then popup their own custom property sheet.
Caveat: I don't claim to know everything (or even a lot!) about ActiveX. Just some meanderings from my bit of experience...
HTH
Ken S.