Widgets is located under Apperance > Widgets
or in the Appearance > Customize > Widgets section.

Widgets do not provide different functionality than shortcode functions, but they do make it easier to implement secondary calendars.

Block Widgets.

Block widgets are used in the Core Editor (Gutenberg).

Appearance > Widgets.
Add widget blocks by clicking the top left blue square with a + in it to open the block inserter. (The blue square changes to black when open.)
The block inserter area looks like this.

Block Widgets

Frontend previews of the following widgets.

My Calendar: Today’s Events

Today’s Events

My Calendar: Upcoming Events

Upcoming Events

My Calendar: Mini Calendar

My Calendar: Mini Calendar block widget

My Calendar: Simple Event Search

Simple Event Search

My Calendar: Event Filters

Event Filters

Appearance > Customize
Have the same block widgets as are seen in the Widgets screen.
Here is an example of using the My Calendar: Mini Calendar.

Customize – widgets – Mini Calendar