Missing "Visibility" option on Lollipop Calendar
It seems Google changed its logic regarding "Visibility" option since Lollipop version. Now, the option is available only when the calendar is shared. If not, the Calendar will hide it instead since it doesn't have any effects.

From Google Calendar support - Change how others view an event, 


  Change the visibility setting for an event
  
  
    Mobile
    
    
      [...]
      
      Note: If you don't share your calendar, you won't see this setting at all.
    
  


and


  How visibility settings for an event work
  
  [...]
  
  Who is your calendar shared with?
  
  
    No one
    
    
      If your calendar isn't shared with anyone, visibility settings won't affect your event. Choosing "Public" won't make your event public. On mobile, you won't see this setting at all when you create or edit an event.