You don't have to define `\First` and `\Second` since these are predefined as `\@firstoftwo` and `\@secondoftwo`. Also the Unicode bytes are already active so setting their catcode is useless. Also redefining the first octet breaks LaTeX's UTF-8 handling and the else case forms an infinite loop. Changing the catcodes of `(` and `)` means that this command doesn't work in the arguments of other commands and it breaks other uses of `(` and `)` in the argument.

Instead you could do this as

  \documentclass{article}
  \usepackage{xparse}

  \NewDocumentCommand \LambdaCalc {u{.} r()} {%
    [arg:(#1) body:(#2)]
  }
  \DeclareUnicodeCharacter {03BB} {\LambdaCalc}

  \begin{document}

  λx.(2x)

  \end{document}