Great question! Clarizen allows you to set calendar exceptions at the Organization level, Group, Individually per user or Project level. Organization wide calendar can be set up from your Global settings, while Group, User or Project calendars can be accessed from the object property card (to access Property Card click on More info http://screencast.com/t/6yAA28bblprU Search for Calendar >> Edit).
I would recommend watching this video that will explain setting up Calendar vacation https://clarizen.zendesk.com/entries/55358497-Clarizen-s-Calendar-Holiday-Loader.
And more about Project Calendars: https://clarizen.zendesk.com/entries/24127973-Project-Calendars.
For further clarification, hop on our daily Q&A webinars (see the link-> http://www.clarizen.com/resources/online-demo.html#second ) and ask for a demo, so that we can walk you through this.
All the best,