I suspect you are using an Exchange account as your default?
The way to change your default calendar in Outlook 2010 is through File->Account Settings and then changing the default under "Data Files" to a datafile with a different calendar. The iCloud data DOES show up under that tab, but you will be unable to set the iCloud data as a default, as it will throw an error message. I don't know that there is any way around that error unless Apple decides to make the iCloud Data File more compatible with Outlook 2010.
It's frustrating, and I've sunk way more time than I should've trying to do exactly what you are doing.
The best workaround for you might be to add your Exchange account to each iDevice. If you aren't using Exchange, then you may be able to use the iTunes Calendar Sync options to get stuff from an iDevice into your Outlook, and enable wifi-sync so that when your iDevice is nearby your desktop, your stuff will still sync, though it won't be through the cloud.
It's a pain and its terrible and Microsoft needs to fix Outlook 2010 to be less horrible, and Apple needs to do better at playing nicely with Outlook 2010.