That's an interesting point. I cannot recall any specific holidays, but I feel like there was, at some point, mention of a Inirthi holiday during on the military campaigns, but I've no idea whether it was the Holy War or The Great Ordeal (or if I'm just plain fabricating memories).
Unlike the mysterious lack of origin myths from literally every religion in the series -- which I strongly feel is an intentional but temporary omission (though I hope it's reasoning/execution is a bit better than, for example, four-books in Achamian suddenly mentioning stuff like the Judging Eye and even more-so the White-Luck Warrior in totally off-hand manner just in time for their appearance as plot elements), the lack of major holidays seems more like something that either slipped through the cracks, or was simply considered low priority to Bakker. Both of which are pretty understandable, given the gargantuan scope of the worldbuilding and its details.
It's also not something that seems wildly uncommon in epic fantasy worlds unless it serves a direct plot device, but that may just be because my own deficit of reading the genre, especially since if they're not at all plot relevant, they can sort of fall under the common hand-wave of "Yes, there are holidays, and also the characters go to the bathroom, spend a minute or two trying to remember a joke they heard someone mention a week ago, change their clothes, masturbate, and a million other things you don't really need to be concerned about".
Although, I do echo your feelings on the lack of a "Merry Sejenmas" here and there, only because of the lase-precision with which religion and culture are handled in the series otherwise.
Does LOTR talk about holidays? Genuinely curious, as I've read the trilogy very haphazardly, and there huge swaths I haven't read at all. What about Dune? Surely the Fremen have something, but I can't recall anything other than during the last act of God-Emperor of Dune -- where it served as a pretty important plot device.
