That’s strange. What version of the plugin are you running? Have you overrode any of the template files? The link is actually on line 70 of /wp-content/plugins/the-events-calendar/lib/widget-list.class.php. If you are running the latest version of the plugin and have not done any overrides, it should be there. It doesn’t show up in your HTML markup so it looks like you or someone else must have modified this or you are running an older version that didn’t include the link.