I don't know which columns are dates (so, I'll assume those prefixed with dt are). For your test script, you would have to change from

my $sth = $dbh->prepare_cached(
  "SELECT * FROM ReleaseDates"
);
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to

my $sth = $dbh->prepare_cached(
  "SELECT convert( char(8), dtXXX, 101 ) FROM ReleaseDates" );
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for the cgi:

  my $sth =$connection->prepare(
    "SELECT Release, dtTargetFeatureFreeze, 
     dtTargetCCRB, dtTargetReleaseFromDev, 
     dtTargetRTM, TwikiURL, ReleaseNum, Display
     FROM ReleaseDates WHERE (Display = 1)"
  );
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to

 my $sth =$connection->prepare(
    "SELECT Release, 
     convert( char(8), dtTargetFeatureFreeze, 1), 
     convert( char(8), dtTargetCCRB, 1),
     convert( char(8), dtTargetReleaseFromDev, 1), 
     convert( char(8), dtTargetRTM, 1),
     TwikiURL, ReleaseNum, Display
     FROM ReleaseDates WHERE (Display = 1)"
  );
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update: BTW, setting dateformat only affects inputting dates.