If you check "Display Modules on all Pages" from the DNN Settings, you don't seem to be able to turn it off. I'm using Events 1.2.1. I thought that I wanted featured events to appear on all pages. Put the module on a page, selected a template, in DNN settings set "Display Modules on all Pages" and checked "Display Features Only".
Decided I didn't want the module on all pages and I am unable to uncheck "Display Modules on all Pages". I manually removed module from pages but it appears anytime I create a new page.