First of all, you should not be making changes to any of the resources that come with a module. You should be doing that in your theme directory. Copy the Calendar.ss file to its theme dir counterpart, that is /your_theme/templates/Layout/Calendar.ss, run a /dev/build, and now SS will be using your template to override the module. SS always looks to your theme dir first for a template and the falls back on the module resource. This is to keep modules, well, modular. When updates come out, you can safely update the module as an insulated package of code.
Second, changes to language should be done in the lang file. If you look at event_calendar/lang/en_US.php (or whatever your locale), you'll see that language defined:
'There are no events';
Simply override that entry in your mysite/_config.php
$lang['en_US']['Calendar.ss']['NOEVENTS'] = "There ain't nothin' goin' on in the dates you selected"
If the language is all you need to change, you shouldn't have to create your own template. Just override the lang value.