Hi Kenneth,
I'm in the UK and have UK Holidays showing in Calendar, in iCloud on my main account.
To test, I created a New User on the same Mac and like you, ticking "Show Holidays Calendar" revealed nothing.
It's a bug. Thankfully after a bit of searching I found the solution, thanks to ennio99 solution.
Solution:
Quick answer: Change your preferred language to British English, log out and in and try again.
I must have done this at some point and forgot.
Long answer:
First un-tick Show Holidays Calendar and quit Calendar.
Make sure your region is set to the UK:
System Preferences>Language & Region>Region=United Kingdom
Next:
Preferences>Language & Region>Preferred Language = 'English' - Primary
Click the + (Plus) button at the bottom of Preferred Languages
Select British English. It might be hard to spot, but it's there.
Make sure British English is now - Primary and at the top of the list.
Restart your Mac or log out and back in.
Open Calendar, tick the box again, the UK Holiday calendar should appear! At least, it did for me on my test account.
iCloud:
If you use iCloud, you can move the UK Holiday Calendar to iCloud by Right Clicking on it and selecting Get Info.
Change the location to iCloud.
It will then move up to the iCloud Calendars.
What is strange though, despite then being part of iCloud, it doesn't appear in Calendar on iCloud.com. It probably still syncs to your other devices though.