So why did the date table not perform as well as the old-school way?
SQL Server doesn’t understand the relationship between these two tables. It simply doesn’t know that all of the rows in the Users table will match up with rows in the calendar table. It assumes that the calendar table is doing some kind of filtering, especially given our CAST on the date. It doesn’t expect all of the rows to match.
My reaction was pretty much the same as Koen Verbeeck’s in the comments. Put in clearer terms, calendar tables work best when you’re joining a DATE type to a DATE type. Once you introduce times into the mix, the optimizer has to behave differently, not least because you have to do things like CAST() to coerce data types.