Not sure if understand correctly. You mean each event to have a new page (and slug of course).
If i’m correct you can only assign the total events page (all of them with the search), categories and locations and not the single events eg:
https://www.example.org/events/party/
So I don’t know if that’s possible or just don’t know how to do it.
Also if I create new events, they’re not displayed as well
I changed “Display events as:” from Post to Pages and nothing.