I have never been at such an event (I don't like the LGBTQI Pride stuff, it is to shrill for my taste), and I don't know what I would do there. I don't need anybody talking about their idea of transgender, I am different anyway. I am a woman and live as a woman from the minute I am getting up until I go to bed (with all the work to keep my skin looking nice, but I did that already as a man).
I like to go to our local trans support group, because it is nice to be with people who went a similar path, and we can share experiences where to purchase what, etc.
I like this forum, because it is similar to a support group. But I live my day to day life doing stuff with my cis female friends as one of them. To be honest, most of the time I do not feel different than any cis woman, and they don't see me as trans either. I am a woman like they are, and sometimes we talk about very female things, and I have to remind them that I do not have all the parts they have!