Currently, you have to make them manually. Go to Create>Spine>EventData Asset.
Then assign the SkeletonDataAsset to it, and choose the name of the event you want.
If you need several events from the same SkeletonDataAsset, it can be convenient to do this once then just duplicate.
Going forward, we'll try to find a good place to do this as a menu item or button but we aren't sure where to place it yet.