We are sorry for the troubles! Are you talking about manually placed AnimationClip Events (at the clip assets below the Mecanim Controller Asset) when using SkeletonMecanim? We have a ticket here for this issue, it's a pity that we didn't get to this yet. We will prioritize this accordingly so that it shall receive a fix in (hopefully) the next few days.

Please note that while it's possible (i.e. not prevented) to set Mecanim AnimationClip events in Unity, it's in general much recommended to set the events in the Spine Editor instead of in Unity, since events will then be preserved when e.g. renaming an animation in the Spine Editor. It's also easier to re-time an animation in the Spine Editor if the event key is moving along automatically, when defining events in Unity you always need to adjust events separately.

This issue has just been fixed on both 4.0 and 4.1-beta branches. Now you can have both events coming from the Spine skeleton and user events manually added to the same AnimationClip in Unity via the Animation window.

Note that now any events coming from Spine have the stringParameter set to SpineEvent to more easily distinguish them. Events that don't have this string set to SpineEvent will be considered user events and will be preserved. (If you have existing assets in your project, previous Spine events that don't yet have the stringParameter set don't end up as duplicate entries as we're detecting very close events of the same name.)

New 4.0 and 4.1-beta spine-unity unitypackages are available for download here as usual:
Spine Unity Download

Please let us know if this fixes the problems on your end as well.