I found why the calendar wasn’t filtering venues. The reason was because the parameter within the shortcode contained errors. Here’s the correct syntax for displaying events from Venue 3036:
Also is it possible to show two different Venues on one calendar?
This isn’t possible out of the box, however if I remember correctly there’s a filter hook that makes this possible with some custom PHP programming. I can look into adding a filter function that will allow a comma-separated list of Venue IDs for specifying two or more venues on the calendar.