Squarespace is a bit different that some other builders. For many of the pages, saving your changes also publishes your changes. With collection pages like Events, Shop, and Blog things are a little different.
The next time you click on those three dots next to an event and select settings, click "Options" rather than "Content" in the panel that pops up. Once the options panel appears, click on "Status" and you will have the option of setting the status of that particular event as a "Draft" "Needs Review", "Published", or "Scheduled". After selecting one of these (and setting a date and time if you selected Published), click "Save" at the top left of the options panel.
I can understand your confusion.
SS has a tendency to update various elements of their interface piecemeal and the interface is a bit muddled in places. So things can be slightly different across the various elements that can be edited.
@TrevorRowe touches on the two main differences in editing.
In general plain Pages, those that aren't a collection of items such as Events, you are basically publishing live. Although you can set up a manual system, if you don't want to go live with those types of pages, by making a copy, work on the copy, then later swap the copy in for the original page. It can involve a dance of changing URLs and other maintenance tasks.
Collections of items like Events usually have controls for unpublished and published states. Although collections have some generally common elements, they are all just a bit different in how they handle these tasks.
