It's a pity , but Calendar cannot be set to MemoryCard , not even a backup is possible on MC (Symbian S60) . It was possible with the older Phones , like 9300 , 9500 (Symbian S80) .
I backup my Calendar on a second Phone . Otherwise you need a PC (e.g. Nokia PC Suite) , or online backup (e.g. OVI , Google or else) .
BTW : hard reset , firmware update are deleting the complete Calendar . So allways make a Backup to restore .