Is there anything similar to DateStyle in Pocket planner? (I need a way to show icons, or at least different colours for some of the days in the month view)

Yes, there is exactly the same construct in PocketPlanner. You create an instance of the DateStyle class, set the range of dates this style would be applied to and set the style itself, then add it to the Calendar.DayStyles list. The following code illustrates how to do this.

DateStyle customStyle = new DateStyle();
customStyle.From = new DateTime(2006, 5, 24);
customStyle.To = new DateTime(2006, 5, 24);
customStyle.Style.ImageIndex = 0;
calendar.DayStyles.Add(customStyle); 

This sample assumes an image list with at least one image in it is associated with the calendar through the Calendar.ImageList property. Of course you can  set an image directly to the Style.Image property or do any desired customization with the style.

I hope this helps.

Meppy