“I'm a little surprised by this as didn't realise the school would be saying this kind of thing.”
Really? That is a little naïve. Given that most of us celebrate Christmas in one form or another don’t you think children should be taught what Christmas is all about? The clue is in the name.
“Aibu to think this is not right?”
Yes, very 
“So how best to deal with this and what would other parents do who don't believe/are different religions?”
Given that most people are atheist/agnostic, exposing their children to religion at school hasn’t given us a generation of religious children has it? Just tell your son that this is what some people believe in, and that you don’t. It isn’t difficult. You can’t “shelter” your son from other points of view about religious belief, and if you want him to be able to think things through for himself and make an informed choice he needs to see all points of view.
I agree with HuskyMcClusky that knowing about all religions, including Christianity is part of a rounded education.
“but "baby Jesus was born on Christmas Day" is inappropriate IMO.”
Get over yourself. Everyone knows this isn’t a fact, even our vicar. A man called Jesus existed. No-one knows for sure when he was born. Christianity hijacked the winter festival to celebrate his birth. I assume that you don’t do Santa or the tooth fairy then?
Being told the Christmas story won’t damage him 