As I was saying, the events page doesn't use shortcode, it uses MEC settings under
Admin > ME Calendar > Settings > General Options. Assigning the XTEST that I created as your events page will tell the system to override it, hence, the shortcode within has no use anymore. It will be autogenerated based on the settings and not based on shortcode.
Configuring a shortcode is different than configuring the events index page, they are a different thing. The provided video is about configuring and using the shortcode and it's not about the events page. What you're trying to change is your main events page which is different than the procedures given in the video.
You can confirm that by deleting the content (the shortcode) of your events page and test it again, it will still display the events page with or without shortcode. Because the content is not relevant anymore once the system took over it to follow the main settings.
But I went ahead and changed your calendar setting in
Admin > ME Calendar > Settings and followed the same setting you applied to your shortcode, to make them look the same
Shortcode : [MEC id="381"]
Skin : Calendar/Monthly View
Start Date : Start of Current Month
Now check your events page and it's now displaying the calendar, maybe you're expecting to exactly see what's on shortcode? It's not possible, events page is an index page of all events, it doesn't have filter functionality and it doesn't have Style option (classic and modern). That's what makes events main page and shortcode based page different