Hi, thanks for your response.
I did change the name of the event page - could this be the cause of the problem?
Another difference is that the Events page (now called Jazz Events) is set up as my home page, so the actual permalink to the Events page is http://londonjazz.net/ (this was set up by the theme when I set it up so that the homepage should redirect to point to this page).
I changed the name from 'events' to 'Jazz events' for SEO but if this is a problem, I can put it back. On the other hand, I don't really want to change 'Events page = Home page' setting.
I have been using this set up for some time now, and everything looked working so I kept it.
My permalink Slugs in the EM settings page are currently set up as having (as set up in default):
Events - events
Locations - events/locations
Event Categories - events/categories
Event Tags - events/tags
I am not using Categories and Tags pages because I get 404 errors (I have a support ticket for this but I don't need them and so it is not a problem for me).