Scheduling and managing events using Outlook.com calendar
I opened a ticket regarding this very issue after creating a family - no family calendar "automatically" created either.
This is the response back from support:
This a known issue in Outlook.com where in most of customers are unable to access the Contacts and Calendar by a glitch in the server. Don’t be worried our Research and Development team are working very hard to get this rectified for our customers and will be deploying a fix as soon as possible.
Please keep an eye on the https://portal.office.com/servicestatus portal.
The service status portal has nothing relating to Family Calendar listed, let alone calendars in general.