In Power BI, Dynamics 365 is connected using its Web API i.e [organization URI]/api/data/v9.0
Dynamics 365 Web API does not support GET Request for calendarrule entity; because of which Power BI cannot retrieve calendar rule entity details.
You can verify by browsing to the URL: [organization URI]/api/data/v9.0/calendarrules
Please refer to the screen capture below for the error details in browser.
Also, you will not be able to load the calendar rule entity in Power BI. Below screen capture displays an error received in Power BI.