I now have 6 different Outlook calendars. One for my wife, one for the daughter-unit, son-unit, our lake association, the dog (yep - she's got her own calendar) and for myself. I created these other 5 calendars so each would be a different color and I could easily differentiate appointments on my Lumia Icon's calendar app. Only my original calendar for myself was showing up on my Lumia Icon even though they all showed up on my computer when I logged into Outlook.com.
The solution was simple and comes from Microsoft's support discussions. On your Lumia, open Settings > Email + Accounts > tap and hold the Microsoft account and choose sync.
I did this and all my other 5 calendars showed up immediately. Note that the colors for each calendar (the main reason I created them) were not the same as the colors of my Outlook.com calendars on my computer. I and to manually change them in the settings from within the actual calendar app on my Icon (accessed by pressing the three dots on the lower right corner of the screen while the calendar is open and choosing settings).
Just thought I'd share.