I am experiencing this same issue.
I added an event for 9-August 2012 (the second Thursday of August). When I first bring up the calendar (which defaults to the current month, July), the event shows up on 5-July (the first Thursday in July).
When I click through to the August calendar, the event shows correctly on 9-August… and when I then return to the July calendar, it no longer shows on 5-July.
I am using EE v126.96.36.199.P and Calendar v2.0.2.