Hi there, Will! Welcome to the forums and thanks for getting in touch. 🙂
Good question. It may depend on your WordPress settings, but most default configurations will hyphenate category slugs for multi-word categories.
So, for example, if you have a category called Sunday Morning Service, you might expect to access that at: [your-site]/events/category/sunday-morning-service/
You can also see your category slugs by heading over to Events > Event Categories in the WordPress admin and selecting the category.
Does this help out? Please let me know. 🙂
Geoff