If you are unable to use Classic Outlook to export your outlook.live calendar as a PST, an alternative is to export it as an ICS file.
Using New Outlook for Windows
View -> View Settings -> Calendar -> Shared calendars - Publish a calendar.
Select one of (or the only) Calendar for your account.
Select permissions = Can view all details.
[Publish]
You should now see two long URLs. Click the "ICS" one and -> Download
This should open a browser window and download and ICS file to your PC.
This ICS file is a snapshot of your current Calendar and can be imported into New Outlook or Classic Outlook.