Outra maneira de gerar o intervalo de datas que você procura seria algo como .....
;WITH DateLimits AS
(
SELECT MIN(First_Date) FirstDate
,MAX(Last_Update) LastDate
FROM TableName
),
DateRange AS
(
SELECT TOP (SELECT DATEDIFF(DAY,FirstDate,LastDate ) FROM DateLimits)
DATEADD(DAY
,ROW_NUMBER() OVER (ORDER BY (SELECT NULL))
, (SELECT FirstDate FROM DateLimits)
) AS Dates
FROM master..spt_values a cross join master..spt_values b
)
SELECT * FROM DateRange --<-- you have the desired date range here
-- other query whatever you need.