When it comes to create the date (or calendar) dimension in Power BI, there is always a question: Should I create the dimension with Power Query or DAX? This is a very good question to ask. It means that you know that there are multiple ways of creating it. What is the difference? the answer is that for many scenarios these are similar. So, it might not be different to use Power Query or DAX for it. However, there is a big difference.
Power Query can fetch data from live web APIs. This functionality gives you the power to fetch public holidays live from an API. You cannot do this with DAX! Apart from this big difference, majority of other requirements can be done with both, you can write calculations in both M or DAX to get calendar columns as well as fiscal columns. In many scenarios public holidays plays an important role in analyzing data. You would like to know how the sales was in holidays compared to other holidays and etc.
There are a few more parts forthcoming, so stay tuned.