... and you were close, it has to be with the settings.
I found the reason.
First, I've tried with excel 2010 in my computer at work and it worked.
I thought it might be the regional settings and changed the locations, US, UK, France and it always worked.
I then remembered that one of the first things I do since many years ago when I install windows in my computers is to change the date format to the international format "yyyy-mm-dd".
That was it. In the windows control panel, if you define the date with the international format "yyyy-mm-dd", the formula (=0+"2010-02") works independently of the location you specify in the settings (or so is the result of my tests).
Conclusion: I've been using the International format yyyy-mm-dd for years and I never had problems independently of the regional settings of the posters. I'll stick to it and forget this "yyyy-mm" format option.
Sorry. The reson is specific to my installation of windows.