Currently it's not impossible to add them, but you have to manually specify one of the allowed relationship types, none of which seems fitting: https://musicbrainz.org/relationships/event-url

What I'd like is for MB to recognize IMDB links for what they are when added on events, as it's already the case for Artists and Release Groups. Plenty of music events get televised, as a result they get their IMDB entries categorized as TV series, TV specials etc. which might be useful for cross reference.