Hi Johannes,
Thanks for going Pro and welcome to the forums! I’m sorry you are having this listing issue.
You are not doing anything wrong. Events are a custom post type, and they use separate taxonomy. So there are separate categories and tags for the events, they are not the same as for the regular posts.
So, what you want to achieve is not possible out of the box. It would likely need some custom development. Unfortunately we are limited in supporting and developing customizations like this, so you would need to turn to a developer for that. I can share with you a list of developers who could most probably help you out with this:
https://theeventscalendar.com/knowledgebase/find-a-customizer/
I’m sorry I can’t give you a solution for this.
Let me know if I can help you with anything else.
MfG,
Andras