Hmm, funny thing. If I change the time zone from the phone to UTC +3 (which is one hour ahead of my current time), there's no change in the phone's time or the events. If I change it to UTC+4 (two hours ahead) the phone clock and events are shifted one hour ahead (i.e. from 16pm to 17pm).
This could be an effect caused by the daylight saving time. Since, we're basically now on UTC+3, but the phone doesn't change the UTC -definition, just the time. That's why there's no change when choosing either UTC+2 or UTC+3.
I think that the Pebble Watch uses now UTC+3, so the event's are one hour ahead. This can be confirmed by choosing "Automatic" as the time zone setting in the Pebble Watch, the clock will go back three hours.
If I set both Phone and Pebble to Automatic, the phones times are correct and PE syncs the correct time, however the events are starting two hours earlier than in the calendar after resyncing the timeline.
Hope this helps