I've researched the problem and have a workaround. I'm running 10.7.3 on two machines, each with identical behavior in regards to the iCal problem. I also set up a new user on one of my machines, synced it to my iCloud calendar, with the same results. In a nutshell, the iCal preference selection for the default calendar ONLY applies to newly created calendar events in Lion. It does NOT apply to calendar events in iCalendar ICS files that are created on another machine and clicked on or dragged into iCal.
When entering an event contained in an ICS file, whether the file arrives in Mail or some other manner, iCal defaults to the top calendar displayed after clicking on "Calendars" in the upper left corner of the app. For default configurations, that will be the "Home" calendar "On My Mac." If you want the default calendar to be an iCloud calendar, and don't have a use for calendars "On My Mac," then right click and delete the "On My Mac" calendars using the drop down window displayed when clicking "Calendar." After doing so, the calendars displayed at the top of the list will be your iCloud calendars.
In iCloud, you can order your calendars by dragging them. (Different design team, obviously.) Drag your default calendar to the top of the list, and that will also appear at top of your iCloud calendars in Lion.
Not the elegant behavior I've come to expect from Apple, but it works. Hopefully, Cupertino will wake up and one day make the default selection in iCal Preferences also apply to events created by iCalendar ICS files.