Why does my page title not change when I click on a link in the calendar module or latest events module?

Joomla uses the menu Itemid to determine the page title to display together with which module are visible (e.g. what appears in the left or right columns).

You therefore need to ensure at least one menu item points to the JEvents component - if you don't want this menu item to be visible you can add the link this can be on a menu that you do not use.