The data in my sets rarely touches every day, there are typically 'missing' days. Having a built in calendar would allow me to plot the full calendar first and then display the data that fell to each date. Some will be 0 for that day but people would like to see this.
It could additionally be used for prorating dollars as a default capability. If I have end dates on a contract which ends in the future if Tableau knew all dates out to say 2099 then I could very easily allocate my dollars across the entirety of the future calendar quite easily. As it is with no built in calendar I am let doing some very clunky FY calculations at best that cannot get into and display it on a quarter/week/day granularity like a built in calendar would.
Of course including standard weekend and holidays for use in datediff calcs or even as a color option would be ideal as well.