1 · The block
Edit the page, add the calendar block, choose a view and a filter. Right for most cases: it is visual, it previews in the editor, and anyone who can edit a page can change it later without asking you.
2 · The shortcode
Same output, pasted as text. Right when the block editor is not available — a page builder, a widget area, a theme template, or a site whose editors use the classic editor. Get the shortcode from the plugin's settings screen rather than typing it, so the attributes match the version you have installed.
3 · The archive page
Events are a custom post type, so WordPress creates an archive for them automatically — usually at /events/. It needs no page at all and it updates itself.
Its limitation is that it is your theme's archive template, so how it looks depends entirely on the theme, and you cannot easily add an introduction, a photograph or a booking link above it. Fine as a secondary listing; usually not what a venue wants as its What's On page.
4 · The theme template
A developer places the calendar in a template file directly. Right when the calendar is part of the design rather than part of the content — a front page that always shows the next three events, for instance. It is not editable by the client, which is either the point or the problem depending on the client.
For a What's On page, use a page
Create a real page rather than relying on the archive. You get a proper title and URL, an introduction above the list — which is where the search-relevant text goes — a photograph, and control over the empty state. You can also set it as a menu item without the awkwardness of linking to an archive.
Then put the calendar block in it, filtered to whatever that page is about.
One thing to check afterwards
Open a page that does not have the calendar on it, with Query Monitor running, and look at the query count. A calendar should cost nothing on pages it is not on. If activating the plugin adds queries to your front page, it is doing work globally, and that cost is paid on every page view for the life of the site.