My problem with iOS5 on 4S was that I had not turned on MobilMe on phone. See these instructions:
Thanks to a message on this board, I found the solution. It involves turning on MobileMe calendar synching in Settings.
Explained in detail on this page:
http://www.apple.com/support/mobileme/
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After you update your iPhone or iPod touch with iOS 4 (or later), follow the calendar syncing setup instructions below.
For more information about iOS software, visit the iOS Software Update webpage.
To set up calendar syncing on your iPhone or iPod touch:
If you have iPhone or iPod touch with iOS 4 (or later) and MobileMe Calendar syncing is turned on, MobileMe Calendar is set up automatically.
1. On your iPhone or iPod touch Home screen, tap Settings.
2. Tap Mail, Contacts, Calendars.
3. Tap your MobileMe account. If you don’t see your account, make sure you’ve set it up on your device.
4. Make sure that Calendars is on.
5. If prompted, choose “Merge with MobileMe” to make sure the calendars already on your device are not duplicated.
6. Press the Home button, and then tap Calendar. Your MobileMe calendar is displayed in the Calendar application on your iPhone or iPod touch. It may take a few minutes to appear.
Article source: http://docs.info.apple.com/article.html?path=MobileMe/Help/en/mm281e1ba0.html