What are the differences between an Exchange Calendar and a SharePoint Calendar in O365?

The calendar that is part of the Outlook Group is powered by Exchange. It is literally a shared calendar for the group. It integrates flawlessly with Outlook, and it has the same capabilities as any Exchange calendar. But because it's part of the group it has some additional features. When you create an entry on the group calendar, it's possible to make that entry appear on group members' personal calendars automatically.

A calendar in SharePoint is also a shared calendar.  While it's possible to integrate it in Outlook, it's not "automatic" and it's not as seamless as a group calendar.  However, a SharePoint calendar can:

• Be used on a classic site (not connected to a group) or a modern site (connected to a group)
• Have unique security.  A group calendar is editable by anyone in the group. A SharePoint calendar starts that way, but you can control the permissions if you want to.
• Have additional columns (metadata).  So, for example, we use SharePoint calendars to track sessions at events, because we want a column for speaker, room number, session code, etc.  With a group calendar, you have the normal fields (title, location, description, start/end) and that's it.