Marco Russo and Alberto Ferrari explain it to us:
You have probably heard multiple times the same answer to many questions about DAX and, to be honest, about nearly anything IT-related: “it depends”. Is it fine to create a calculated column, or is it better to avoid it? Yes, no… it depends. Is it better to create one, two, or three fact tables? It depends. Is a composite model the right choice? It depends. However, a few questions have a strong, clear answer, and in this article, we focus on one of those. Is it better to filter a table or a column with CALCULATE? Here, the answer is simple and definite: filter columns, not tables. The same principle is applied to CALCULATETABLE, even though the example in this article only shows CALCULATE.
With that answer in mind, read on for the wherefore.