Steps to replicate:

• Create application link between Confluence and JIRA and set a particular JIRA project's available for anonymous access
• Add new Calendar and create two events
  • First event type should be set to Event, no restriction set
  • Second event type should be set to JIRA Issue Dates, no restriction set
• Create a space and allow anonymous users to access it
• Embedded the team calendar to newly crated space

After doing above steps, login users can see everything normally.
For anonymous users, there is no event displayed.

However, anonymous users can see the event if the JIRA Issue Dates event type is removed.

NOTE: Both Team Calendar and Team Calendars JIRA Integration have been installed for both Confluence and JIRA respectively