I am using Mountain Lion on my Macbook Pro. All my calendars are in iCloud. But no more than one of a dozen calendars syncs to the iPhone.
I have another calendar program - WeekCal - on the phone and that syncs fine. I can watch it happen. But iCal...no.
Sounds like the problem is between iCloud and your iPhone. You might have more luck asking in the "iCloud on my iOS device" forum or the iPhone forum than here in the OS X Mountain Lion forum.
iCloud: Calendar Troubleshooting
iCloud: Calendar and iCal Troubleshooting - Advanced
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