Howdy Kyle,
I think I know exactly what happened. There is an unfortunate bug in our calendar at the moment. If you add an even in May, the links to May will appear. However, if you add an event for a different month, say January, then edit that event and change the date to May, no link will appear. We are working to fix this in 3.9.1.
The solution right now is to add a new event in May or later. Or, if you have no event to add, delete the current event in May and then readd it but set the date to May before clicking “Publish”. The link should appear.
Does that make sense? Did that work? Please let me know. Thanks!
– Brook