OK, I deleted and reinstalled and now I see the source of my confusion. There is no option to set your timezone and it should (and does) adjust automatically.
When I look at an event with the iPhone Calendar in Single Day View, e.g. first game in Orlando, it says "9 PM (GMT) within the event text, but it displays the event in the timeline of the calendar from 5pm-7pm. Why it lists the GMT time I don't know but it is adjusting properly.
When I open the event it lists both times, with the local time first:
"Sunday, Mar 8, 2015
from 5 PM to 7 PM
from 9PM to 11PM (GMT)"
Also, I separately downloaded the calendar into Outlook and it doesn't show GMT times at all. So problem solved, mostly It's slightly poor programming to have it display the GMT time instead of the synced time in Daily View, but it more or less works.
It's also probably MLS's responsibility, not NYCFC.