According to the Power Apps delegable functions and operations for SharePoint document, many functions and data types are delegable for SharePoint, but that's not the case for SharePoint calendars. This limitation is not noted in the document. Since SharePoint calendars are just another SharePoint list, I assume this to be a bug with the Power App connector.
This bug is easily recreated. Connect a Power App gallery to a SharePoint calendar and use this formula for the Items source: Filter('SharePointCalendar', EventDate >= Date(2021, 8, 1)). You will get the Delegation Warning and 500/2000 record limit. This same formula works fine on a DateTime column is a standard SharePoint list.