We had a couple of reports of this, and on investigating, those users had a custom page template set on the event.
I’ve created a ticket for our developers to investigate this, but if you have a customer template set I have a workaround, which, whilst it isn’t great, will get your Venue updated.
First, set the page template on the event to default and update the event.
Wait for the page to reload and then set the correct venue, the WPGraphQL request should then work as expected and show the venue updated.
Now set the page template back to whichever template you were using before and update the event as normal.
If that still doesn’t work I’ll need the details from the above post to investigate further.
(There are more details on what is happening to cause this in THIS thread)