The code expression, as it is, is correct. So, that's not the issue.
Here's my guess... and I'm not 100% certain... but it looks like your control may be applying some auto-formatting.
If you were to manually type the value into that field, do you need to add the "/" characters or are they automatically added by the control? What happens if you change the code expression to remove the slash characters?
Although, this may only delay the problem because, if you get to a day of the month that is single digit, you may still need to have some way to go to the next field. So... as suggested, rather than using keys, there may be some other method or function you might need to try. Examine the properties of your control to see if there is something like a "wDate" field or something else that you can set the value of rather than using the "Keys" method.