Sorry to chime in so late on this, but I don't think there is a place in the default calendar app for you to set what time the alarm for an untimed event will sound.
I've used DateBk6 since back in my Palm Tungsten|C days, I know there's a setting in it that allows you to set the specific time of day that you will be notified of of an untimed event (like a whole day event, like birthdays, holidays, etc.). The reason why I'm pretty sure that the original Palm Calendar app doesn't offer that is that there's also a setting in DateBk6 where you can set whether DateBk6 or Palm Calendar handles alarms. When I accidentally unchecked the box to have DateBk6 handle all alarms, I (and more importantly, my wife) was woken up at midnight for untimed calendar events.
The Palm Alarm System is a pain in the posterior, especially on NVFS devices. I had all kinds of issues and conflicts with it when trying to use Palmary Clock as a MP3 alarm clock (with multiple alarms for me, my wife, and the kids to wake up each morning), and then any alarms in Calendar or DateBk6, and that's when I discovered that there are many functions on Palm devices that use the Palm Alarm System even though they're not really alarms per se (ie, Text Msg notifications, voicemail notifications, etc.). I finally (by trial and error) figured out a solution, but I have to be careful in the alarm order, and when more than two MP3 alarms have been triggered, I have wake up enough to go into Pocket Tunes (which is used to play the MP3 alarm) and then exit out of it. Otherwise, Pocket Tunes will remain in memory (even though it's set not to) and also hog the Palm Alarm System and prevent anything else from using it. I also have to set it so the phone is off (which I can thankfully do in Palmary Clock) before the daily alarm sequence begins because if I get an early morning text or voicemail notification, none of my alarms (Palmary Clock or DateBk6) will sound until I clear those text/voicemail notifications.
Ugh....this is bringing back really bad memories. I can't wait to move on to a new phone/OS and/or start using my Palm Tungsten|C as my alarm clock again (no NVFS -- thank God!).