Yes Ben it should normally create the new calendar by right clicking on the email address account name (in the calendar) section of EMClient. However doesn’t allways work that way on certain IMAP severs. eg: On some friends of mine i had to create the new calendars via the “Server calendar webpage” and then close & open EMClient to show it.
Ps Testing the new V8 Beta EMClient (due out later in year), the creation of new calendars from within EMClient seems to work ok. So hopefully that will work for you in V8 for Mac.