Hi Prabhu,
Please note, the dates of records in PA20 are the start date of that particular action.
When you say, "For Ex: In PA40 for an employee we executed separation action on 30.01.2014"
That means, the employee status is inactive from 30.01.2014. So the report is fetching the correct last date as 29.01.2014 for the employee.
You should always run the Separation action with the next day of the last working day of employee.
For your example above, if the employee's last date should be 30.01.2014, you should run the separation action from "31.01.2014"
I hope this helps your query.