Hi there!
Thanks for getting in touch! While we don’t have built-in support for color-coded calendar events in the way you’re describing, this is something that should definitely be possible via customization. Our Themer’s Guide is a great resource for all things related to template modifications and would be the best place to start for more info there!
Regarding venues and viewing events tied to a specific locale, you have plenty of options here–The Events Calendar stores venues as custom taxonomies in the WordPress database, so much of what’s possible with standard WordPress categories can also be achieved with venues in TEC. This Knowledgebase article goes into a bit more detail and includes information on how to add venue links to a standard WordPress navigation menu. If you have any more specific questions about how these work, I’d be happy to answer them for you! 🙂
I hope that helps! Let me know if you should have any other questions!