Is it possible to use the Team Calendars macro to create a new calendar?
From using the macro it seems this isn't possible. In my mind this is an essential function of the Team Calendar Macro available when editing a Confluence Page.
The Old Calendar macro provided this capability.
If this capability isn't provided, you have to first to go your calendars, create the calendar, go to the page you want to add the calendar too, add the calendar and then potentially go and remove the calendar from your personal calendars because you might not want it clogging up your personal calendar.