Seems like you are not alone with your problem. See if this can help:
Set your sync profile on automatic, not manual wait a moment,Then works the calendar sync.
I had the same problem.
Manual sync: sync only mail and contacts
Automatic sync:sync also the calendar
Re: Nokia E71 - Mail for exchnage does not sync the calendar
http://discussions.europe.nokia.com/discussions/board/message?board.id=swupdate&message.id=58448
Jon-Alfred Smith MCTS: Messaging | MCSE: S+M