I would do the 365 date objects and create an admin overview for all the orders that do not have a reference to a date object. You could even create some scheduled event that checks for orders without a date reference so somebody can actively do something about those orders. Do make sure that you create a couple of years ahead and do a yearly check to create the object for the new years.
The advantage of having those date objects is that you can also use that for all kinds of dashboard overviews (on which day of the week do I have the highest avarage orders etc).
An alternative could be to indeed create a calendar entity with a record for everyday, but without setting associations.
Then you could create a listview on the calendar entity and in that listview
a listview with a datasource microflow that filters out the relevant orders...
[day-from-dateTime(OrderDate) = day-from-dateTime($calendar/Datum)]
[month-from-dateTime(OrderDate) = month-from-dateTime($calendar/Datum)]
[year-from-dateTime(OrderDate) = year-from-dateTime($calendar/Datum)]
A bit performance intense i am afraid.
Another option is your calendar model with associations to the orders and to check for orders not associated with a date and fixing that.