Hi – great question!
We don’t use pages in the conventional WordPress sense of the word, so I’m not quite sure how you are designating events pages in your theme settings but it probably isn’t going to work quite as you expect.
Instead you would probably need to find a different means of identifying event pages (you could use an action hook, or could use the Default Events Template and then customize and override the default-template.php – perhaps setting a variable to indicate a certain stylesheet should be loaded).
We do have some great resources to guide you through making customizations (the Themer’s Guide in particular is well worth a thorough reading):
Does that help?