UPDATE 2020-03-28: Calculation groups are coming soon to Power BI Desktop, read the added section at the bottom of the post.
I am glad to announce that we just released an additional module about Calculation Groups to the Mastering DAX video course. All current students of the video course will immediately be getting access to this new section.
We covered calculation groups in The Definitive Guide to DAX book published last year. Yet we waited until the release of the feature in Analysis Services 2019 before recording the video on this section. This way, we were able to show the user interface required to create calculation groups in Tabular Editor. This was not a priority in the book, whose purpose is to explain the language and not the user interface. For avid readers, we have an entire section dedicated to Calculation Groups on SQLBI.com. The content is more updated than the book, especially the references to the user interface in Tabular Editor.
We decided not to show examples using SQL Server Data Tools for Visual Studio as an editor. The reason is that the user interface to manage calculation groups is far from ideal. You can safely edit a BIM file to add calculation groups in Tabular Editor and go back to Visual Studio if you want. If you want more details about the user interface in Visual Studio you should turn to the official calculation groups page by Microsoft.
When will this feature be available on Power BI Desktop? We hope very soon, but in the meantime continue to push the request with Microsoft by voting to Support creating calculation groups in Power BI Desktop.
Just a few hours after our announcement, Christian Wade (Principal Program Manager in Microsoft) announced that Calculation Groups will be available in Power BI Desktop by this summer (2020). During the presentation of XMLA endpoint for Power BI Premium, Christian revealed that Power BI Desktop is going to be more integrated with external tools such as DAX Studio and Tabular Editor. As a consequence, Calculation Groups will be available in edit mode in Power BI Desktop by using Tabular Editor. And there is more, watch the entire Tabular Editor demo from minute 00:34 to 00:47.