Julen, I don’t know if someone has a custom or 3rd party solution (which you might want to search for), but I do not believe there is a way to print calendar exceptions using out of box features. Sorry about that…
Here’s something that’s thinking a bit out-of-the-box in terms of an approach, but it may get you the data you want from a different perspective.
Open a Resource Usage view and collapse the view to only show the summary row for each resource. In the Time Phased data side, right click in the Details column, click detailed styles, and add Work Availability field. This will show, by timescale period the total work availability in that period, regardless of assigned work. You can then change the timescale to be daily or weekly.
Basically, any weekly Work Availability value less than 40 means time off (vacation or holiday) in that period.
If needed, you can export that data to an Excel workbook.
Not exactly in a calendar format you might have been looking for, but the data is there.