Get a list of dates between few dates

One method uses a recursive CTE:

with cte as (
      select date_from as date_list, date_to
      from t
      union all
      select dateadd(day, 1, date_from), date_to
      from cte
      where date_from < date_to
     )
select date_list
from cte;

By default, the recursive CTE is limited to a recursive depth of 100 (and then it returns an error). That works for spans of up to 100 days. You can remove the limit with OPTION (MAXRECURSION 0).

Although you could create the date range on the fly in your query, consider creating a permanent calendar table. This will provide better performance and can be extended with other attributes like day of week, fiscal quarter, etc. You can find many examples of loading such a table with an internet search.

Below is an example with 40 years of dates.

--example calendar table load script
CREATE TABLE dbo.Calendar(
    CalendarDate date NOT NULL
        CONSTRAINT PK_Calendar PRIMARY KEY
    );
WITH 
     t4 AS (SELECT n FROM (VALUES(0),(0),(0),(0)) t(n))
    ,t256 AS (SELECT 0 AS n FROM t4 AS a CROSS JOIN t4 AS b CROSS JOIN t4 AS c CROSS JOIN t4 AS d)
    ,t64k AS (SELECT ROW_NUMBER() OVER (ORDER BY (a.n)) AS num FROM t256 AS a CROSS JOIN t256 AS b)
INSERT INTO dbo.Calendar WITH(TABLOCKX)
SELECT DATEADD(day, num, '20000101')
FROM t64k
WHERE DATEADD(day, num, '20000101') < '20400101'
GO
DECLARE @example TABLE(
     DATE_FROM date NOT NULL
    ,DATE_TO  date NULL
    );
GO

--example query
INSERT INTO @example VALUES
      ('2010-05-17', '2010-05-19')
    , ('2017-01-02', '2017-01-04')
    , ('2017-05-01', NULL)
    , ('2017-06-12', NULL)
SELECT
     c.CalendarDate
FROM @example AS e
JOIN dbo.Calendar AS c ON
    c.CalendarDate BETWEEN e.DATE_FROM AND COALESCE(e.DATE_TO, e.DATE_FROM);