No, it's exactly the same for all months. Normally, German nouns always come with an article or a word that can act as an article (a 'determiner'). Nouns standing alone without an article are the exception. Here is an overview of the most important cases when a noun stands without an article: http://is.gd/jqxdmV The whole section on the use of articles in German is worth a read, BTW. I suggest to stick to 'Der Oktober ist schön'.
I've had the same kind of thing happen. They sometimes accept (or perhaps insist on) 'pretty' or 'nice' for 'schön.' I wish they'd be consistent in either allowing all of that or disallowing some of it.