Calendar requires app-specific password but can't actually receive one

I'm trying to add my iCloud account in the Mac Calendar app. From the settings dialog I click the + sign, choose iCloud, enter my credentials and Sign In. I'm shown an iCloud "use with" list with the Calendars checkbox selected. After a few seconds, a dialog box appears:

App-Specific Password Required

Your Apple ID is protected with two-step verification. You must generate an app-specific password at appleid.apple.com to sign in.

And the options are "Later" and "Create." Create takes me to the Apple website and allows me to create an app-specific password, which I do.

But here's the problem: there's no way to enter the password into Calendar.

Hypothesis: Mac Calendar and Apple two-factor authentication do not play nice together.

Is that true? If so, is the only solution to disable Apple's two-factor authentication? Or is there some other reason that Calendar is not loading my iCloud Calendar account?