In essence, Event item in the header menu of our demo site was set as a Event category. This explains why you do not see this page in Pages > All Pages.
Note: Please make sure that you activated The Events Calendar and built data in Events section prior to implementing steps stated below.Seek more related information via these links:
To achieve an Event item in header menu, please follow these steps:Step 1: Navigate to Events > Settings > Display > opt Default Events Template in Events template > Save changes
Step 2: Go to Appearance> menu > click the triangle of Event Categories on the left side.
Step 3: Tick Event box and click Add to Menu then Event item will appear in Menu area on the right side
Step 4: Drag this item to a position you desire, for example, in our demo, it is situated in a place like this:
Step 5: Save Menu
Learn more about setting up Header Menu:
http://nootheme.com/documents/set-up-menu-2/
Learn more about setting up Header Menu:
http://nootheme.com/documents/set-up-menu-2/