Please help!

Try using REMOVEFILTERS to explicitly remove the filters on Year and Month

var _PrevDate =
calculate(
    MAX(data[Created Date]),
    data[Created Date] < SELECTEDVALUE(data[Created Date]),
    REMOVEFILTERS(<Year Column>),
    REMOVEFILTERS(<Month Column>)
)

You'll probably need the REMOVEFILTERS on the _Index calculation too.

Best practice here would still be to use a date table.  You could use LASTNONBLANKVALUE to go back to the previous date that exists in the data.