I’m not able to recreate that here. It always stays on the calendar page, whether I’m using the actual calendar Post or embedding the calendar shortcode on another page, and even when linking from the regular sign up sheet list to a calendar (view & signup link goes to calendar).
Of course, that’s assuming you’re using the option to show the sign-up form (not just the task details) in a pop-up. If you are NOT showing the signup form in a pop-up, then when you click on a sign-up link it goes to the main volunteer page (as set in the main plugin settings) and will stay there after you sign up. There is no redirect option to go back to the calendar from the regular signup form. If you want to stay on the calendar page you need to check the “Show Signup Form in pop-up?” check box near the bottom of the add/edit calendar page.