I can't get Nasm to error out on that exact line, but I don't think you'd want "%define" for this. "%assign" is for variable numbers, "%define" is a text define - the L = L + 2 isn't going to work. What's more, a label offset is a relocatable value, not really a "constant". But I *think* something like this will do what you want...
%assign %%L 2
%rep 3
DW Array + %%L
%assign %%L %%L + 2
%endrep
(I'm not sure why you start at 2... skipping the first (0) entry?) Anyway... give that a try and see if it works.
Best,
Frank