Yes, when we're talking about antiquity it gets a bit ambiguous.

Firstly: Yes, all the speeches in Tacitus (and all other ancient historians) are indeed assumed to be the work of the historian. Fabrications, we could say. But par for the course in antiquity, ever since Thucydides had blazed the trail back in the 5th century B.C. It was expected in an ancient work of history that the historian would produce speeches by the characters on his stage.

In the case of Calcacus it's even possible the entire character may be a fabrication, see this older series of posts by yours truly (complete with completely wrong first post because I got my British-chieftains-making-great-speeches-in-Tacitus mixed up but what can you do.)

Secondly: Yes, many ancient historians were themselves writing many decades or even centuries after the events they're describing. They were historians, after all. It's important for us to distinguish between people describing events they witnessed themselves, (i.e. Xenophon) events they wrote about within living memory (i.e. Polybius, partially, though his work stretches a longer period) and those who wrote about things long before their time. (i.e. much of Livius and many others.)

Generally we consider historians who wrote sooner after the fact to be more reliable, though there are exceptions. (i.e. Arrian's history of Alexander is considered one of the better ones even though he lived centuries later, in part because he himself had access to contemporary sources that are now lost.)

By the by, Tacitus falls in group number 2. His Agricola, which has the Calgacus speech, is about the career of his father in law, not about some dimly remembered ancient past. He was certainly alive when the campaign happened, though he was not himself present, but would have talked to people who were.

Thirdly: Despite all that we do tend to talk about these works as primary sources.

For one thing, for most of the history of history, these ancient writings were the only sources we had about antiquity. When people started writing ancient history we hadn't started any of the archaeologic excavations that would uncover papyri in Egypt and wooden tablets in Vindolanda. Nobody had made the extensive inventories of inscriptions on tombs and coins that help us so much today.

And even with all the work we have done today, these ancient historians are often still the only source we've got. If we can't use Herodotos' writings on the Persian wars as a source... well, then we pretty much can't write about the Persian wars.

For another thing, even if we cannot take the writings of Plutarch on ancient Sparta as fact, it is still a thousands of years old work written by someone living in a vastly different culture. It is still a primary source about the Romans even if we cannot uncritically treat it as evidence about the Spartans. It still tells us what people back then believed even if it doesn't necessarily tell us what actually happened. (To speak with Ranke.) They reveal a lot about the ancient world and about the people who wrote them. (Which, unfortunately, means they mostly reveal a lot about what upper class rich men thought, since those were the only people writing these histories. But it is what we've got.)

So in conclusion: ancient writers are not primary sources in the same way that a papyrus letter found in an Egyptian garbage heap or an inscription on a gravestone is. But they can be used as primary sources, depending on the questions we're asking.