P3

 let

    Source = CalendarTable,

    IterationsTable = IterationsTable,

    MergeCondition = Table.AddColumn(Source, "Merged", (ct) => 

        let

            calendarDate = ct[CalendarDate],

            matchingIterations = Table.SelectRows(IterationsTable, each [Start Date] <= calendarDate and [End Date] >= calendarDate and [Sprint Name] <> null),

            sprintNames = Text.Combine(matchingIterations[Sprint Name], ", ")

        in

            sprintNames, 

        type text

    ),

    Expanded = Table.ExpandTableColumn(MergeCondition, "Merged", {"Sprint Name"}, {"Sprint Name"})

in

    Expanded