I had the same problem: the link at the bottom of the widget points to …/events/, rather than to …/index.php/events/, which was the calendar link indicated on the Events Calendar general settings page. It turned out the /index.php was added based on permalink structure settings, which apparently are not taken into account for the link at the bottom of the widget. I resolved the issue by selecting one of the simple permalink options.
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This reply was modified 1 year, 6 months ago by wiebedehaan.