I just tested as I thought this would be possible. However, I ran through other (mainstream) addons and it seems that they all follow suit: If the addon did not create a thread, the associated thread cannot be changed.
It's a good suggestion, but how all 3rd party developers are doing it, I don't think it will ever be implemented (I may be wrong, but if it is, it'd be the first).
Your suggestion is after the fact "assign a discussion thread" to an event.
The dirty way to do this is to run a MySQL query which will add that discussion thread.
For instance, this thread id is 9715 and there is a calendar event on here with 141 that doesn't have an associated thread:
Someone is playing
nixfifty.com
If I wanted to associate this thread with that event, I would run this MySQL query (until implemented, if ever):
update `xf_nf_calendar_event` set `thread_id` = 9715 where event_id = 141;
If you have phpMyAdmin, it'd be much easier to locate event_id (in the xf_nf_calendar_event table)* and merely input the number 9715 into the "thread_id" column and it'll appear as a normal discussion thread as if it were previously associated.
Took me a while on this one as 3 AM and I put quotes around numerics which confused me. But, it works. 