Попробуйте эту модифицированную версию вашего кода:
Sub WorksheetLoop()
Dim sht As Worksheet
Dim LastRow As Long
Dim LastColumn As Long
Dim rngStart As Range
Dim rngTolist As Range
Dim objTable As ListObject
For Each sht In ActiveWorkbook.Worksheets
Set rngStart = sht.Range("A2")
LastRow = sht.Cells(sht.Rows.Count, rngStart.Column).End(xlUp).Row
LastColumn = sht.Cells(rngStart.Row, sht.Columns.Count).End(xlToLeft).Column
Set rngTolist = sht.Range(rngStart, sht.Cells(LastRow, LastColumn))
Set objTable = sht.ListObjects.Add(xlSrcRange, rngTolist, , xlYes)
MsgBox sht.Name & ", " & objTable.Name
Next
End Sub