I think it would be useful if the EPiServer:Calendar control had a HeaderTemplate. This would make it possible to give the calendar listing a header that only shows up if there are any events in the calendar. Optionally a NoEventsTemplate could be useful, so that a message like "There are no events for the selected period." could be displayed.
The need for this becomes apparent when you use the Workroom sample templates. On the Overview tab you might want the "Calendar" heading not to show for a workroom where calendar is not active.