Expanding lists with split strings

Here's how you can thread them:

newlists = Thread[{#, Characters@#2, ##3}] & @@ list
(* {{"Class", "M", "10 - 11"}, {"Class", "W", "10 - 11"}} *)

Here is an approach that doesn't use threading.

data = {"Class", "MW", "10 - 11"};
{a, b, c} = data;
new = {a, #, c} & /@ Characters @ b

{{"Class", "M", "10 - 11"}, {"Class", "W", "10 - 11"}}

Distribute[MapAt[Characters, list, {2}], List] (* or *)
Distribute[MapAt[StringSplit[#, ""]&, list, {2}], List]

{{"Class", "M", "10 - 11"}, {"Class", "W", "10 - 11"}}

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