Mine wern't showing any birthdays until I did so much messing about I don't know what worked!
I went into People settings and synced Facebook, I then went into People and opened a few and checked they had birthdays there. I then went into calendar to check check settings - didn't change anything and all calendars are on ie Windows Live, My Calendar, UK Holidays and Facebook. I think I also turned my phone off and back on again.
Next time I looked at my tiles I noticed there was a birthday reminder on the calendar tile, so I opened it up and now September and all other months are full of birthdays!