Bug 231. The settings are saved in a file called ~/.gpe-calendar. Can you see if that file exists? If it exists, please try deleting it (rm ~/.gpe-calendar), start gpe-calendar again, and exit. See if the file has been created and, if so, take a look at its contents (cat ~/.gpe-calendar).
Do you know roughly how many calendar entries you have? If not, you can get an approximate idea by installing gpesyncd and typing: echo uidlist vevent | gpesyncd | wc -l