We struggled with this. We found that the concept of "Multi-day event" meant different things to different users. For instance, an all weekend workshop could be entered as 10 July - 12 July. It comes up on the calendar on the day it starts. The other two days are confusing calendar entries because one cannot go to the workshop after it has started. Another example is something like, "John's Vacation." I only need to know when his vacation starts. Seeing the entry seven times in a row gets a little redundant. So think of start date / end date as the span of a single event, not a series thereof.

Now, of course, we had users with your idea of a multi-day event, and rightfully so. You want multiple entries in your calendar. What we found is that this could be quite easily serviced by the repeating events functionality of the calendar. That is, if you assign a start date and and end date, and repeat the event every day, you end up with successive calendar insertions. To me, it's actually a much clearer metaphor. From 1 July to 10 July, you're actually repeating the same content, not spanning a 10-day block of time.

Does that make sense?

This doesn't work for large multi day events though. We can't ask our content editors to do a 'repeating event' for a 3 or 4 month long exhibition.

Is there a button for this somewhere that I don't see? Or is the only way to make a repeating event by adding it more than once?