Hello Jacson_Vi.
Thank you for your answer but according to this Office 365 webpage it should do:
"Does Exchange Online in Office 365 work with native OS X apps like Mail, iCal and Address Book?
Yes, with Mac OS 10.6 Snow Leopard or newer."
blogs.office.com/.../office-365-across-the-mac-safari-and-iphones.aspx
this, in turn, refers to the following Microsoft help file:
help.outlook.com/.../ee461396.aspx
which states "If you want to use the iCal calendar program that's included in Mac OS 10.6 Snow Leopard, select iCal calendars."
I would find it strange that this functionality works under iOS but not OSX and that the contacts and mail sync fine on OSX but that calendar was left out (which isn't the case according to the above webpages).