I enter mine in from iCal:
-All day events show up as a generic "you have an all day event scheduled".
-If you do not select all day and set a time it will show up on the iphone as " you have 1(2,3...) event(s) and the first one starts at ____(AM/PM)" I also select busy or free depending on the event to give the visual time block.
-In iCal on the get info of the event select: alert>send message> and whenever you want and it will show a message in iCal and on your iPhone!
I choose: day before>and whatever time works best to have the notification
*also I just came across this you can try: Settings>Mail/Contact/Calanders>(scrolls down until)Default Alert Times>All-Day Events> (set your time). Let me know if that works for shared calanders when the user does not select an alert.