Hey Karen,
You should indeed be able to build navigation menus with any text you want instead of “Events” – the trick is to use WordPress’ “Menus” feature. Since that’s a general WordPress feature and not something specific to our plugins, we can’t help a whole lot with actually building out a menu, but no worries – it’s thankfully a very easy process!
Here’s a great overview of building a custom menu → https://codex.wordpress.org/Appearance_Menus_Screen
You can just delete the existing “Events” nav item and add a “Custom Link” item that links to your events page – then just set the Label to “Calendar”, save the menu, and you should be good to go.
Cheers,
George