Hi Denise: when no events are returned a 404 status is indeed set – that’s because no event posts were found and so this actually parallels the behaviour of WordPress itself (if a query is received for posts but no matches are found) – the difference in your case is that it looks like, in the case of your theme, this also triggers a visible notice to alert users to the fact.
I think the best way forward would to be to see if there is an easy solution by changing the template choice in Events > Settings > Display. Otherwise you would need to investigate customizing your theme (and you might wish to touch base with your theme vendor about doing so) to avoid this message displaying whenever a 404 happens to coincide with an events-related page.
On our side, the following code can be used to detect if a page relates to events:
if ( tribe_is_event_query() ) { /* Do magic */ }
Hope that helps 🙂