There was some bad data in there, that e didn't account for.  I added the criteria below


   ;WITH CTE AS (
        select pcode,pkey, RowEffectiveDate, rowenddate, RowEffectiveDateCalc, RowEndDateCalc,
                RowEffectiveDateCalc CurRowEffectiveDateCalc, RowEndDateCalc CurRowEndDateCalc
         from (
                 SELECT pcode,pkey, RowEffectiveDate, rowenddate
                            ,cast(RowEffectiveDate as date) RowEffectiveDateCalc
                            ,cast(rowenddate as date) RowEndDateCalc
                            , ROW_NUMBER() OVER(PARTITION BY pcode ORDER BY RowEffectiveDate, rowenddate, PKey) AS rn
                 FROM DimPro
                 --where PCode = 'TX5125'
                ) X
            where rn = 1
        union all
            select c.pcode, c.pkey, c.RowEffectiveDate, c.rowenddate, c.RowEffectiveDateCalc, c.RowEndDateCalc,
                    c.RowEffectiveDateCalc CurRowEffectiveDateCalc, c.RowEndDateCalc CurRowEndDateCalc
            from (
 
                SELECT NextRow.PCode, NextRow.Pkey, NextRow.RowEffectiveDate, NextRow.rowenddate
                        ,cast(NextRow.RowEffectiveDate as date) RowEffectiveDateCalc
                        ,cast(NextRow.rowenddate as date) RowEndDateCalc
                        ,cast(CurRow.RowEffectiveDate as date) CurRowEffectiveDateCalc
                        ,cast(CurRow.rowenddate as date) CurRowEndDateCalc
                        ,Row_Number() over (partition by NextRow.pcode order by NextRow.RowEffectiveDate, NextRow.rowenddate, NextRow.PKey) AS rn
                FROM CTE CurRow
                    join DimPro NextRow
                    on CurRow.PCode = NextRow.PCode
                    and NextRow.RowEffectiveDate <= NextRow.rowenddate
                    and DateDiff(day, CurRow.RowEndDateCalc, cast(NextRow.RowEffectiveDate as date)) = 1
                ) c
            where rn = 1
    )

    select * from CTE
    order by 1, 2