Hey
@NickBB,
Sorry for the late reply, but as far as I know, 'Time Sensitive' means notifications that require immediate attention will be shown even when 'Focus' is enabled, so that should not be the problem.
It sounds like you've checked all the right places. Just to confirm - in your Mac's settings, under 'Notifications', is your Calendar app set to 'Alerts' and not 'Banners'? Banners disappear automatically while Alerts stay on screen until dismissed.
Also, could you check if the 'Do Not Disturb' mode is off? This might be interfering with your alerts.
Alright, this seems to be all. Hope this helps!