Event Calendar Pro does not support use of the same instance on multiple pages. It should be on a single page only and the page should have roles that allow users to visit it. When you create events it creates a friendly url and that friendly url maps to a real url that must have a pageid as a querystring param and it must have the same pageid for all events for that instance of Event Calendar Pro. The pageid and th emoduleid are both passed in the real url and these are verified to make sure the module really exists on the page and the roles are enforced based on the page roles and module roles.
What you could do to show a calendar on the side bar is.
1. Use Feed Manager in the side bar and mark it as global content so it is easy to add it to any page (or you can try th emodulewrapper way)
2. Consume the feed from Event Calendar Pro in Feed Manager.
3. In Feed Manager settings check the box for "Use Calendar View". This makes feed manager render a calendar.
But the links in the calendar of feed manager are still going to go to the event detail therefore the events must be created on a single page and you cannot move it to a different page after creating events or those previously created events will show access denied because the pageid is not correct.
Hope that helps,