Yes, I think support is right and that is a better way to do it. Expiry month and year are sent as numbers for credit card processing. Even if you specify MM/yy as the format, I believe the system stores the day as 01 but does not display it.
You can still store as a date and then extract month and year parts of it by using MONTH(BO.CCExpiryDate) and YEAR(BO.CCExpiryDate). Just be aware that YEAR returns a 4 digit number. You then need to take it AS_STRING and extract 2 CHARACTERS_FROM_THE_RIGHT