SkeletonAnimator assumes you want to do things "the Unity Animator" way. So it adds Unity Animation events to the dummy animation clips.
So the way to capture events is by adding one or more components to the same GameObject that have methods with the same name as the event in Spine.
For example, if you had an event named "Fire" in Spine, you would add a method to your component defined:
public void Fire ()
{
// Handle the event.
}