Hello Jakob,
Thanks for posting your question in this Q&A Forum.
In-order for an application to create a calendar for a user, you need to assign the application "Calendars.ReadWrite" permission. If you are signed in with a user to the in the Graph Explorer and app will get access the calendar on behalf of that user and you need to provide "Calendars.ReadWrite" permission to the app in-order to get data from the user calendar.
For apps that access resources and APIs without a signed-in user, the application permissions need be consented to by an administrator when the app is installed in the tenant or in the Azure portal.
Here is the details KP article of different types of permission;- https://learn.microsoft.com/en-us/graph/permissions-overview?tabs=http#permission-types
Hope that answers your question.