This article details troubleshooting methods if you are unable to view an Exchange Online shared calendar on a Mac.
Both users must have Exchange Online mailboxes, and you must be a delegate for a calendar before it will appear in Outlook for Mac. This is a limitation of Exchange Web Services Protocol (the protocol Outlook for Mac uses to connect to Exchange Online) and is considered by design. The person sharing the calendar needs to provide you delegate access to their calendar before the non-default shared calendar will appear. For more information on how to share calendars and provide permissions visit: Providing Access to an Exchange Online Calendar or Folder in Outlook for Windows.