Thanks for your question. I had a look around and it seems this is not possible. Here is what one of our support reps said:
"Unfortunately I don’t believe this is possible or at least I don’t know of an easy way to accomplish it. The easiest way to do this would be to manually link to the month with events like: http://www.yoururl.com/events/2012-06 – you could easily do this through the WordPress custom menus screen. The only downside is you would need to manually update that link but that should be doable if you only have events running 6 months of the year.
I hope that helps!"
If I see any other solutions I'll get back in touch!