I just tested this and they still show in the Notification Center. Mine are set to Banners. Also your screenshot doesn't show the additional options at the bottom of "when the display is sleeping" and "when the screen is locked." Do you have those checked as well?
Thank you for taking the time to test this!
Unfortunately, for me they disappear completely, both from the screen as well as from the notification center.
I don't have those options at the bottom active since I don't want to have notifications coming in when the computer is sleeping (that usually means I am focused on some other task).
I think this might be related to me having a 2nd monitor: I just did another test - just to be sure they are not in the notification center somewhere - and when I woke the Mac from sleep the second monitor did NOT wake up (happens sometimes) but the Calendar notification was still there. I then put it to sleep again, woke it up and the second monitor woke up as well but the notification was gone!
