I think it's a bug. Same thing happened to me and I managed to fix it.
- In Calendar->Preferences->Accounts, disable the iCloud account (there's a simple tickbox). All the iCloud calendars will disappear from Calendar's list.
- Now create a new calendar, and it will appear "On My Mac". Make sure that the new calendar does not have the same name as any of your iCloud calendars, to avoid Calendar being tempted to merge them later.
- Go back to the preferences and re-enable iCloud. All the iCloud calendars will reappear, and your File->New Calendar menu should now give you the choice of creating in the cloud or locally.
Somehow it got stuck and forgot about the On My Mac choice at installation time, but it seems OK now.