Manually add them on your iPhone.
It's a known issue (not a bug, just unsupported). What you can do in iCal is make a copy of all the events in the "Birthdays" calendar, create a new, standard calendar (maybe name it "iPhone Birthdays"), and copy them over.
As of right now, only standard calendars are sync'ed to the iPhone. "Smart" calendars and dynamically-created calendars (like the birthdays one) are not sync'ed and cannot be sync'ed to the iPhone at this time. The solution is to create a standard calendar and copy events over from the Smart or dynamic calendars.