LOOKUP help

You need to use LOOKUPVALUE in a calculated column. I just created your same data set and it worked fine with this formula in a calculated column called "Prev Gross Margin"

LOOKUPVALUE('Report Italia'[Gross Margin],'Report Italia'[Index],'Report Italia'[Index] - 1)

See this file for an example.

All of that said, the correct way to do this would be to have valid dates in your model, then a date table. Then create a measure that would calculate the margin of the previous period using something along the lines of 

Measure = 
CALCULATE(
    [Total Margin],
    DATEADD([Dates],-1,MONTH)
)

That would ensure it always works as long as you have dates and don't need to worry about an index.