Why does iCloud have a different timezone for my calendar events than my devices do?
Each of your devices has a timezone setting, which you probably already set correctly.

What you probably didn't know is that iCloud.com has its own timezone setting. To access it, login to icloud.com, then click on your name in the upper right corner. Once set, you should see everything ok.

The “time zone support” setting you disabled has to do with creating events associated with a timezone, and is usually better left off.

NOTE: Once you change this you will have to logout and then login again for the changes to take effect.