I have had the same questions from my users.
But maybe it's related to lightning as it is the one which does caldav, it may not recognize that calendar are on the same server.

Having multiple accounts on a same server should be possible, lightning or sogo-connector have to find in the url what correspond the account's root (for SOGo it is /SOGo/dav but it could in others /principals/users or /dav ). And for each account asking for the corresponding password once.

Having this https://bugzilla.mozilla.org/show_bug.cgi?id=883079 and https://bugzilla.mozilla.org/show_bug.cgi?id=883079 fixed could help

(reference http://tools.ietf.org/html/draft-nottingham-site-meta-04 )