It is normal for the early captures in the calibration process to look distorted, the important thing is getting a sufficient score.
It looks like you have the dot pattern a little too far away from the camera. The dot pattern should take up roughly 1/3rd of the view of the camera in both directions (or 1/9th of the total field of view).
When moving it away from the center you should angle it toward the camera, as shown in the diagram of the Lens Calibration Wizard.
Here are some tips on the lens calibration (and alignment) process:
And a video guide:
