I gave +1 to this question because I was about to ask for the same, but I found the way to do it, yes, it is possible to do what he's asking. 
This article about Arrays and Collections helped me, I used a Generic List to this example because I think it's easier to add items to a dynamic Collection while we are fetching records from database. I changed some of the code to match the question.
//create a class and paste this.
public class createsCollection
{
    private static SqlConnection getConnection()
    {
        SqlConnection con = new SqlConnection();
        con.ConnectionString = @"Data Source=yourPCName\SQLEXPRESS;Initial Catalog=..";
        return con;
    }
    public static List <DateTime?> datesList(string room)
    {
      using (var con = new SqlConnection(getConnection().ConnectionString))
      {
        SqlDataReader dReader;
        List <DateTime?> dates = new List<DateTime?>();
        var cad = "SELECT Date from yourTbl where room = @Rn";
        using (var sqlCommand = new SqlCommand(cad, con))
        {
          try
          {   sqlCommand.CommandType = CommandType.Text
              sqlCommand.Parameters.AddWithValue("@Rn", room);
              con.Open();
              dReader = sqlCommand.ExecuteReader();
              if (dReader.HasRows == true)
              {
                while (dReader.Read())
                dates.Add(DateTime.Parse(dReader["Date"].ToString()));
              }
              return dates;
          }
          catch (Exception ex)
          { MessageBox.Show("Error: " + ex.Message);
            return null;
          }
        }
      }
    } 
  }
In your Form:
List<DateTime?> datesLst = new List<DateTime?>();
List<DateTime> notNullableList = new List<DateTime>(); 
private void Form_Load(object sender, EventArgs e)
{
  datesLst = createsCollection.datesList("103"); //this can be changed e.g Button.Text
  //We need to convert the nullable DateTime List 'datesLst' to a non-nullable 
  //DateTime array in order to pass it to the BoldedDates Property.
  if (datesLst != null) //if there were records from the db
  {
      foreach (DateTime? dtm in datesLst)
      {
         string str = dtm.GetValueOrDefault().ToShortDateString();
         DateTime val;
         if (DateTime.TryParse(str, out val))
         {
           notNullableList.Add(val); //add not-null value to the new generic list
         }
       }
       monthCalendar1.BoldedDates = notNullableList.ToArray(); //bold the dates gathered from the db to the Month Calendar
       monthCalendar1.Update();
       monthCalendar1.UpdateBoldedDates();
   }
}
It's a way to do it, and I believe there are better way to implement it but this works pretty good for me when I tested it. 
If you want to use a fixed size Array instead of a List, you may want to do a first query that returns the number of (Date) rows based on the specified condition and set it to the array size, also is not necessary to return a nullable List but I did it as my preference. Cheers.