The time zone is not setup correctly in the WordPress settings.
By the default it is set UTC time, to update the timezone:

1. Go to: Settings > General
2. Find and update the Timezone section to your desired city in order to display the correct time zone.
3. Click Save Changes.
4. Go back and edit the event in the calendar that is not displaying the times correctly
5. Do not change anything, click the Update/Save button
6. Refresh the calendar and the times should now display correctly