Hi,
Thanks for the interest in Pro.
In Pro with have the Mini Calendar Widget, if you set it to show zero events and have day view active, then once a day with events is clicked it will take you to the day view to show the events.
It is not loading the events on the left site, but taking you to the actual day view page.
You can see the mini calendar doing exactly this on this page:
http://wpshindig.com/about/
-Note the UPCOMING EVENTS below the calendar is a separate widget.
Usually to get the sidebar to show on the event views you just need to change the default template which you can learn more about here:
https://theeventscalendar.com/knowledgebase/stylesheets-and-page-templates/
Let me know if you have any follow up questions.
Thanks