You get an error, because you pass the remote server an INSERT statement without any VALUES or SELECT part. The fact that you have a SELECT on your local server is completely irrelevant.
I don't think you can do INSERT through OPENQUERY at all. Try this instead:
INSERT INTO CDW.CDW.dbo.TABLEA(
[DATE],[DATE_IN_SQL_FORMAT]
,[WW]
,[C_WW]
,[AQUARTER]
,[CQUARTER]
,[YEAR]
,[AMONTH]
,[CMONTH]
,[MONTH_MNE]
,[DAY])')
--Server B
SELECT [DATE],[DATE_IN_SQL_FORMAT]
,[WW]
,[C_WW]
,[AQUARTER]
,[CQUARTER]
,[YEAR]
,[AMONTH]
,[CMONTH]
,[MONTH_MNE]
,[DAY]
FROM #CALENDAR10 A
But don't be surprised if this explodes as well. It usually better to run the INSERT on the server of the target table.