yes, it does store the screenshots... for the purpose of having them show up in the Sense UI bookmark widget. on my Hero they are stored on the storage card, on the Incredible they are located on the on-board 6GB partition, http://www.androidcentral.com/htc-browser-bookmark-images-scare explains it in greater detail

iCal is a great app, the problem for us Windows-only users, not available for Win. (Jobs should think about porting it!)