There is a bug in the iOS version of the calendar app. If you select a preexisting notification in the event editing menu, but don't make any changes, all notifications disappear upon return to the main editing window. Steps to reproduce the bug:

1. Enter the editing dialog of an existing event (pencil icon)
2. If there is a preexisting notification set, click on it to edit.
3. Exit the notifications dialog without making changes
4. The preexisting notification setting will disappear