Obtaining calcium iodide from calcium and iodine
Looks like the Bunsen burner is not providing enough energy for the reaction to occur. AFAIK, you need around 200-400°C of heat for the reaction to occur. Yes, you can always powder the calcium metal to increase surface area and see if the reaction is occurring or adopt simple(chemical) methods. You can react any calcium salt with hydroiodic acid to form calium iodide. I am using calcium carbonate as example[1]:

$$\ce{CaCO3 + 2 HI → CaI2 + H2O + CO2}$$

Or alternatively make a iodide of iron and make it react with a calcium salt[2]. There are many more ways to make calcium iodide in [2]. You can look at them but these two methods is by far the most simple methods.

References:


https://en.wikipedia.org/wiki/Calcium_iodide
Caty J. Braford;  H. A. Langenhan; A preliminary report on the composition of syrup of calcium iodide N. F. V. DOI:https://onlinelibrary.wiley.com/doi/pdf/10.1002/jps.3080180218
http://albumen.conservation-us.org/library/monographs/sunbeam/chap10.html