How do the magi celebrate the various holidays?
They probibly have some of there own of course! 
They all have pancakes on St. Alphonso's day.
Winter Solstice is (practically) a mandatory holiday of sorts, a mid-winter casting of the new Aegis, when all the magi are together (for better or worse, ahem!) Depending on the character of the covenant, this could incorporate religious observances (Pagan, Jewish and/or Christian), or simply be a feast-time for the covenant population in general. (Astute magi will recognize that grogs and local peasants will observe something, or expect to!)
Other solstice/equinoxes possibly as well, tho' not so universally observed. (aka May Day, Midsummer Night's Eve and All-Soul's day, more or less).
If the grogs have close ties to the local non-consorti townsfolk, then whatever local customs are followed will be echoed by the covenant- or damn well better be, if the magi want to keep on the good side of their red-shirts.
That might well include All-Fool's day, when traditionally peasant's rule and the lords must serve, to some degree or another. At worst, a day when supplicants come to those "powerful" might be observed, or be expected to by the locals.
In one the older intro-modules (someone help me which one?) there is suggested a Covenant that has an annual contest among their grogs, a bit of a letting off of steam and such, and neighboring/visiting covenants can compete, iirc. Purely local, but not a bad idea.
And every 7 years the Tribunal will be some cause for travel, if not celebration. How the Grogs treat that, as welcome or dreaded, depends on the individual habits and demands of the covenant.
I sincerely doubt that, aside from Winter Solstice, there is any Hermetic Holiday that is acknowledged even unofficially. Some nostalgic Bonisagus might celebrate that worthy's Birthday, or the anniversary of the establishment of the Order in 667. Some festivities might also occur in 1217, celebrating the Order reaching 550 years old, but that's hardly formalized.
When a apprentice pass the Gauntlet the other Magi in the area, usually the Tribunal where the new Magi swears on the Code have a celebration, drinking and eating well and sharing stories of their own apprentice ships and Gauntlets. I do not remember witch book this was in, but it was in one of them.
Also i can imagine some might celebrate things they think are important in the Order's history or their birth days or the university of them joining the Order. However celebrations and such take time away from studies and magi do not like to be dragged away from his or her studies.
cult ones and major Christian ones.