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Hi Joanne,
There is no option available in SharePoint Online to set the calendar to only display workdays. I would suggest you submit your feedback to our SharePoint Online User Voice. Your providing feedback is the best way to perfect our products and services.
In addition, you may try to achieve your requirement via programming. The following links are for your reference.
Only Show Work Week in SharePoint 2013 Calendar
Hide weekend in calendar SharePoint 2013
Removing Weekend Days From Calendar
Thanks,
Ran