I think this bug has been around forever in iOS but, to be clear, my solution is for iOS 10.2.1 on an iPhone 7 Plus.
First, verify that the Calendar app has access to your Facebook information:
- Open Settings > Facebook
- Make sure you’re logged in
- Make sure the switch next to “Calendars” is switched on.
Here’s the buggy part, you need to make sure you sync All Events:
- Open Settings > Calendar
- Tap on the “Sync” entry and change it to “All Events“
- Open the Calendar app and verify that the Facebook events are now showing.
An annoying bug on Apple’s part.