How to style an "all day event" to have it styled like any other event?
As far as I understand it this is a CSS question. All you need to do is add styles to overwrite the color change. It is actually two different styles that need to be changed. The following code will set them back to the yellow and light grey color that is the default for the calendar module.

.calendar-calendar .month-view .full td.multi-day div.monthview, 
.calendar-calendar .week-view .full td.multi-day div.weekview, 
.calendar-calendar .day-view .full td.multi-day div.dayview {
  background: #ffc;
  color: #777;
}

.calendar-calendar .month-view .full td.multi-day .inner .monthview .continues, 
.calendar-calendar .month-view .full td.multi-day .inner .monthview .cutoff, 
.calendar-calendar .week-view .full td.multi-day .inner .weekview .continues, 
.calendar-calendar .week-view .full td.multi-day .inner .weekview .cutoff {
  background: #ffc;
  color: #777;
}