Yes, this appears to be a known issue with Office for Mac. As stated on this page:
Can’t sync Outlook for Mac with calendars and contacts in Outlook.com, iCloud, Gmail accounts
Outlook for Mac does not currently support CalDAV or CardDAV. This means that it is not possible to synchronize your Outlook on the web, iCloud, Gmail calendar or contacts with Outlook 2016 for Mac. However, Outlook 2016 for Mac does support iCloud Mail. For more information, see Microsoft Outlook 2016 for Mac compatibility with Apple iCloud.
IMHO this is a shockingly bad outcome and experience for loyal Office users who have faithfully ignored Microsoft's competitors and chosen Outlook on the Mac and Outlook.com. Crazy to think we need to do all the extra work to simultaneously maintain two
different sets of calendars and contacts across these products. Frustrates me every day.