How can I change the calendar that an event, added from Mail, is attached to?
You should be able to change the calendar it's in, so I don't understand why you can't do that, but I have encountered events I could not edit before &amp; for me, it turned out to be the fact that the event was owned by someone else (even though I imported it on my personal calendar).

I found out that by opening up the .ics file in Text Edit.app and removing the lines which signify ownership before importing, I could edit the event just fine in the Calendar app. Just removed entries containing ORGANIZER, UID:, ATTENDEE, and/or PARTSTAT.  Save and then double-click the edited file.

I created a folder action for it, so all I have to do is drop the .ics file in the folder to import an editable event.