When using Exchange Online, you can connect any user calendar to the Calendar web part to view and add events directly within your SharePoint site.

To be able to access Exchange calendars, a global administrator must first grant access.

• When you add/update an Exchange data source in a calendar profile, a pop-up window will appear requesting permissions. You have to grant the permission to be able to save the data source.
• You must grant client-side API access to Microsoft Graph. Once you install the app, a new API access request will be submitted. You can view your pending access requests under SharePoint Administration -> Advanced -> API access. Without granting this permission, the web part won't be able to access Exchange calendars.

NOTE: currently only user calendars are supported by Microsoft for API access. Group/shared calendars cannot be used.