Ability for Calendar filters, i.e. Categories, to support Grid view, currently only supports List view. Feature removed in 16.20 update
Microsoft removed the feature for you to select which Category to show on a Calendar i.e. Grid View. You used to be able to do this by clicking on the Triangle next to a Calendar in the Sidebar which would display all of your Categories. Then you could pick and choose which Categories to display on your Calendar. Now that this feature is removed, you must use Filters, which would be OK but Filters only support List View. Feature removed in 16.19 or 16.20 update.