Remove event page link from Calender Widget

Yes, you can add a callback to the filter eventorganiser_widget_calendar_date_link and just return false. (See codex: https://codex.wp-event-organiser.com/hook-eventorganiser_widget_calendar_date_link.html).

add_filter( 'eventorganiser_widget_calendar_date_link', '__return_false' );

Should do it. The calendar is cached, though, so it may not take immediate effect. Simply update an event to clear the cache.