I had a number of calendars that I was subscribing to in 10.8.1 that appeared under the Subscriptions category in Calendar's sidebar. This was the case even though their location was iCloud.
Updated to 10.8.2 yesterday. When the Mac restarted, Calendar attempted to upgrade its data but appeared to hang. So I did a force quit and re-launched it.
Now, under 10.8.2, all those subscribed calendars appear under iCloud...and I'd prefer they stay under Subscriptions.
Looks like this is a new behavior after the update: Subscribed calendars appear under iCloud and not the Subscriptions heading unless they are stored On My Mac via the Info panel. Only by placing them On My Mac will they appear under the Subscriptions heading.
Frankly, I liked the old way better because it kept my iCloud list lean and mean and though I rarely refer to the subscribed calendars, I need them to update to all devices via iCloud.