Office 365 Groups comes with a real Exchange calendar, but accessing a Group calendar is a bit cumbersome via the Outlook 2016 client. You first have to expand the Groups listings in e-mail view, select your group, and then click the calendar button in the ribbon. A different experience than clicking the calendar view and then the calendar.
When clicking the Calendar button, a new window opens. In the new window locate your group in the folder navigation pane, right click the group and pick Add to Favorites…
I hope the Groups navigation experience towards the different services proliferate into all contexts and apps over time, but for now this is as good a workaround as any to have Group calendars appear side by side with your other calendars.
Want to remove the calendar? Use the same approach, but Add to Favorites has turned into Remove from Favorites.