I am having the same issue, not only can you not have her add to different calendars but more importantly I can't have her read off of all of my other calendars. If it isn't on iCloud.com she doesn't see it. So if I have her add an appointment to the default calendar and I have a conflicting appointment in my exchange calendar she doesn't see it because for whatever reason the only calendar I see on iCloud.com is the iCloud calendar. None of my other calendars are there. I think that's where she looks. Everything goes through the cloud, even when you ask Siri to set an alarm she does it in the cloud first and then it shows up on the phone. It isn't a local process. If you ask her what time it is, she doesn't scrape that from the phone it's scraped from the cloud.
If anyone knows how to get iCloud to see all of my iCal calendars that would be a really good start for me. Would still love to add to any calendar as well but Siri doesn't even compare all of mine to start with. One step at a time for me.