Events are sets only because we have _defined_ them to be sets, as part of the general $20$-th century pattern that attempts to frame all of mathematics set-theoretically. However, such events as "is red-haired," "has freckles," "had an allergic reaction," and many others have natural interpretations as predicates. And even in mathematical discussions of probability, connectives of a logical nature (and, or, not) are used. We _say_ "and" and _write_ $\cap$.