You can change the default header image in the admin area at:
Events > Event Settings
That will set the default for all events. On that page you can also set the default event location and a few other settings.
You can also set a custom header image for individual events. To do this click events in the admin area then click on the event title. Scroll to the bottom and you’ll see custom page header. Add an image there then click the update button and the header image will show on that event.
Note: The calendar page is a web page with the calendar added to it. Since that’s actually a web page and not an event page the event default header will not show on that page. But you can set the page header on that page by editing that page from the admin area and setting the custom page header at the bottom.