Gretzky never won the Calder because he was ineligible he played in the WHA that doesn't exist anymore. Another reason the Calder isn't meaningful.
It's also quite funny (and inconsistent of the NHL) that they allowed Sergei Makarov to win the Calder at age 31, despite already having played 13 seasons "professionally" (don't get me started on what Soviet teams did for their players in order to circumvent the IOC's "amateurism" rules) in the Soviet Union. I mean, at least they changed the rules so you have to be under 26 to be eligible to win it now.