In EE3 (which you are using) events can’t be added that way. You would need to add them as Custom Links (e.g. use http://www.goldengateopera.org/new/event-registration/?ee=2) or via a Post or Page (add a shortcode for the single event or event list to the post/page).
In EE4, events are custom post types so they will appear as a separate item in the menu editor.
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