As of iCloud 2.1.1 (Dec 2012), the iCloud data file can't be set as default.
The release of iOS6 brought iCloud2 and a better experience in Outlook. The iCloud doesn't work with Outlook 2013 yet (expect an update after Office 2013 is released to manufacturing and available to the general public), but users who wanted to set the iCloud data file as default get their wish, as long as they use a POP3 account.
With the iCloud set as the default data file, appointments in the iCloud calendar display in the To-Do Bar and depending on your configuration (specifically, the number of accounts), new appointments and contacts will be added to the iCloud folders.
Setting the iCloud as the default data file does not work if you use IMAP accounts. IMAP accounts need to have a pst set as the default data file if you want to send mail using the IMAP account. Why? Because the IMAP sent items are placed in the default data file, even if you are being moved to the IMAP account's sent folder. Disabling the option to save sent items does not change this behavior.
Another minor issues involves creating Notes or Journal entries. You need to select a folder in the local pst, otherwise you'll receive an error message. This should not be a problem – you shouldn't be using the Journal and you can avoid the error if you select the Notes folder first. (You don't actually need to select the Notes folder, but you do need to select a folder in the pst where the Notes folder is.)
There may be other issues associated with setting the iCloud as your default that I haven't discovered in my testing.
For more information, see Outlook and iCloud: default data files
Published September 25, 2012. Last updated on February 13, 2013.