I did some testing, hopefully that helps in resolving the issue.
Fresh installation, No additional plugins, only events manager.
General settings: timezone=Madrid. Date format=d/m/Y, Time format=H:i
Events Manager settings: Enable Timezone Support=yes, Default Timezone=Madrid. Date formatting=24h.
Testing with 4 events, all with date=25 November 2020, time between 13:00 and 15:00.
Event 1: Timezone=Madrid
Event 2: Timezone=UTC+1 (is the same as Madrid)
Event 3: Timezone=New York
Event 4: Timezone=UTC-5 (is the same as New York)
Results.
Both in admin and frontend: Event 1: 13:00-15:00 (correct), Event 2: 12:00-14:00, Event 3: 13:00-15:00, Event 4: 18:00-20:00
Event 2, 3 and 4 do show the date/time with the correct timezone indicator.
After installation of the latest DEV version (5.9.8.2), all events have 13:00-15:00 as time.
Added the same events, but dated 26/11/2020.
These also all default to 26/11/2020, 13:00-15:00.
The same happens in a clean installation with the DEV version, so without adding events in the official release.
After uninstall of the DEV version, and reinstall of the official version we return to the original results:
Event 1: 13:00-15:00, Event 2: 12:00-14:00, Event 3: 13:00-15:00, Event 4: 18:00-20:00,
Event 5: 13:00-15:00, Event 6: 12:00-14:00, Event 7: 13:00-15:00, Event 8: 18:00-20:00 (dated 26/11/2020).
So, basically the DEV version does nothing. It defaults all events to the date/time entered.
I normally use a mix of UTC and location timezones, but sticking to one makes no difference.
Also using a UTC in general settings for the timezone has the same results.