For some reason, in some cases I couldn't make the setDate work.
A workaround I found is to simply update the value attribute of the given input. Of course the datepicker itself won't be updated but if what you just look for is to display the date, it works fine.
var date = new Date(2008,9,3);
$("#your-input").val(date.getMonth()+"/"+date.getDate()+"/"+date.getFullYear());
// Will display 9/3/2008 in your #your-input input