For the time I use the version 2.3.1 of Event Calendar / Scheduler for WordPress.
If I saw it correctly, the entries are not saved by the backup of WordPress. How can I save the calendar entries?
I’m not quite sure which backup functionality do you mean, but in any case - all data of calendar is stored in single “events” table. So you can dump it from database and store as backup.
Yes, exactly what I mean 
How can I create the dump file?
From other plugins I know is that there is a generating button, which created the dump file.
In Scheduler I have not found anything
The component doesn’t provide one, so you need to use some kind of db tool to export directly from the database.