Thanks for the replies.
Based on the inputs, I will do the following:-
1. As per Yasuhisa suggestion, I will do a quick check on the time of the files. This is unlikely as no restore was ever scheduled, be it manually or automatically. However, no harm checking it out.
2. As per huanglao suggestion, I will create another policy to try out and see if the issue recurs.
The Monthly Full policy is standalone i.e. it only has one schedule that is suppose to run on the last day of the month. I have a separate Daily Incremental and Weekly Full policies, using frequency based schedule and I have no issues with these two.
For my Monthly Full policy, I've actually created an open window everyday from 1600 to 2000, since the last day of the month could fall on any of the weekday or weekend. The technote highlighted by Stumpr2 does not match my current problem however.
I'll post my update once I tried out the two above.