Hey Jason,
Thank you for reaching out to us!
Right now, out-of-the-box, it’s not possible to delete the Featured Image associated with a specific event. Only the event post and postmeta are removed from your database when you permanently delete an event: images will remain in the media library/on the disk.
You can either search for the images in the WordPress Media Library by name or by date, or browse to your images folder via FTP and remove the images from there.
I hope this helps! If you have any other questions at all please feel free to let me know and I’d be happy to help as best I can!
Cheers,
Patricia