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I found some menu items for all events entry page.
and I fround a bug regarting all events page as menu item.
you need to wait for the fix.
and about how to make new menu item by event category, you can using this trick:
1. goto events at jomsocial toolbar
2. select all events from my events page
3. filter it by category
4. copy the page URL e.g:
5. goto joomla backend > menus > select meny type e.g: main menu > click new, select menu item type System Links > external URL
6. put URL without domain as link value e.g: