Since iOS5, you need to enable app-badges manually in the System Settings of your iPhone for them to work correctly:

  1. Go to System Settings
  2. Go to Notifications
  3. Enable Week Cal
  4. Ensure you have selected Week Cal and not Calendar in the previous step
  5. Please ensure you have selected WEEK CAL
  6. Enable Badges for Week Calendar
  7. Reboot your device

This is an Apple last minute change, which app developers can do nothing about as it stands.