I have virtually the same occurring, so is our confidential information at risk and is there no answer?
Calendar can't verify the identify of the server "p31-caldav.icloud.com".
The certificate for this server is invalid. You might be connecting to a server that is pretending to be "p31-caldav.icloud.com", which could put your confidential information at risk.
iMac 27″, macOS 10.15