Hi Roger,
I'm quite sure I've had the setting both ways, the event is from a sub-calendar (don't know if this makes a difference, I don't think it should) but it seems to do the same thing whether it's checked or not. I'd provide a link but the site's not live yet and I'm just working on a sand-box environment on my laptop.
I'm new to DNN and didn't want to waste anyone's time if I'm just doing something wrong. But what if I have more than one event from more than one sub-calendar? Is the 'Event Detail New Page' checkbox intended to open a list of events on a new page or the details of a particular event?
I'll confirm about the checbox when I get home and raise a bug once I have.
Thanks for the quick response. 
Donald.