No, I’m not missing these files. They are all present on the server, for instance:
[…]/apps/calendar/timezones$ ll EUROPE-BERLIN.ics
-rw-r–r-- 1 www-data www-data 356 sept. 19 21:54 EUROPE-BERLIN.ics
However, NC is looking for EUROPE/BERLIN.ics, which is failing.
Currently, Calendar shows 1.4.0 version, so the last released version.
For the record, I carefully applied the instructions there Migrating from ownCloud to Nextcloud.