How to get venue info to display using shortcodes

It’s definitely possible and there are several ways to go about it. Unfortunately, the docs have lagged behind recent updates so it’s not as obvious as it should be.

In any case, the first way is to use an inline template, something like this (of course, you’d probably add your desired category and other parameters to the shortcode):

[event_embed]
    <h4> {title:linked} </h4>
    {thumbnail}
    <small>
        Takes place on {start_date} at {start_time}
        over at {venue:link}
    </small>
    {description}
[/event_embed]

A more powerful and flexible alternative is to use an actual PHP template, ie:

[event_embed template="custom-embedded-events"]

This would then look for a template located in:

themes/YOUR_THEME/tribe-events/custom-embedded-events.php

Which you could base on the original found in:

plugins/event-rocket/templates/embedded-events.php

The benefit of this approach is that you can use all of the many template tags and other facilities WordPress and The Events Calendar make available for custom theming purposes ??