The iPhone segregates the calendars so that you can view them seperately but there is also an option to 'view all calendars' which will do exactly what you want!
Hope this helps.
Apple’s Worldwide Developers Conference to kick off June 10 at 10 a.m. PDT with Keynote address
The Keynote will be available to stream on apple.com, the Apple Developer app, the Apple TV app, and the Apple YouTube channel. On-demand playback will be available after the conclusion of the stream.
The Keynote will be available to stream on apple.com, the Apple Developer app, the Apple TV app, and the Apple YouTube channel. On-demand playback will be available after the conclusion of the stream.
will iphone merge calender from mobileme and exchange?