From the "Site Settings" tab in the Editor CMS, you can select "Edit Settings" to see these options below.
Selecting "All Categories" will allow your calendar to accept and show all events from all categories.
Using "Selected Categories means the calendar will only display the specific categories that are chosen here. Once you've decided on the events categories for your events calendar, you can choose if you wish to accept all events or only the categories you are showcasing with the checkbox option shown below the listed categories.
NOTE: Any existing events that do not match the Selected Categories will be rejected in bulk once the settings here are saved.