I missed one step to get it to appear in iCal on the Mac. Open iCal/Preferences/General and check the "Show Birthdays Calendar". The birthday events should show if not check the Subscribed Calendars, it should be there once enabled.
I have just been working through this same setup with a couple other family member's Apple set ups and this post has help me find it is possible on the iCloud Calendar. Even though I previously thought Birthdays not available on the iCloud Calendar it too has the setting in it's preferences. Open Calendar in iCloud in your web browser, click the gear icon in the top right corner selecting Preferences. Check the "Show Birthdays calendar" option in the General tab. The "Subscribed" section will appear on the left column and Birthday events will show up when checked.
Again, this is calendar or setting does not appear to be enabled through iCloud. The info is being read from the Contacts/Address Book on the local level which is synced by iCloud. If you edit a contact in Contacts/Address Book on any of the devices, including iCloud, the change will be updated in Contacts/Address Book which in turn will update the calendar it is associated with. As any changes in iCloud be patient, they may take time to update the change between devices.
Once again a feature in iCloud which is more complicated than it needs to be. We can only hope they work on it to make it better. Please send in some feedback
http://www.apple.com/feedback/