change the PST setting in the GPO from

No PST’s allowed to Allow Sharing-Exclusive PST files.

The you can’t create a PST file for email but you are able to add a Sharepoint calendar.

 

More info :

http://social.technet.microsoft.com/Forums/windowsserver/en-US/eee18ae0-3612-484c-a0d7-723719a58ba5/outlook-2010-internet-calendar-group-policy

http://exchange-2010-info.blogspot.ca/2010/03/how-to-usegroup-policy-to-disable-pst.html