Samsung S6, same problem after upgrading the phone, a notification keeps appearing that I won't be seeing any calendar notifications, even though they are active and working.
I seem to have found a fix/workaround:
In program info for the Samsung Calendar, under permissions, add Calendar to permissions.
Haven't gotten the notification since.
Update: While I've mostly surrendered to the fact that Samsung software cannot be uninstalled and contains loads of unwanted features including sneaky adware that even shows on the lock screen by default - this is indeed my first and last Samsung phone ever - I actually do use the Samsung calendar, just wanted to get rid of the annoying notifications.
However, for those that do not want to use the Samsung calendar, it's totally possible to disable notifications after adding permissions, without the notification warning reappearing.