Ok, right off the bat I'll say that I'm using this in WPMU and so far it works great. Don't know if that's what's going on here.
I'm not getting links on events when they show up in the widget. Each event is present as text w/o the ability to click on it and pull up the calendar detail, which is how I think it's supposed to work?
I've tried with and without a Custom Event format in the widget and it makes no difference.