Hello,
If you’re using the default events template (under Events > Settings > Display > Events template), then the header is called with get_header. If you have “Default Page Template” selected, the header will be called in your theme’s page template. You can take a look at our template in wp-content/plugins/the-events-calendar/src/views/default-template.php. I would also recommend taking a look at our themer’s guide and functions list, which are always great resources when making customizations to our plugins.
We are limited in the amount of support that we can provide for customizations, but if you get stuck or have any questions, please let me know – I’ll be happy to point you in the right direction!