Direct answer: Just because a problem is relatively simple is no reason to not do things to keep it simple. It's a lot easier to walk on my feet than on my hands. I don't recall ever saying, "Oh, I only have to go half a mile, that's a short distance so I might as well walk on my hands."
Longer answer: If you don't keep any information about a city other than it's name, and you don't have a pre-set list of cities (e.g. to build a drop-down), then your schema is already normalized. What would be in a City table other than the city name? (I presume State cannot be dependent on City because you could have two cities with the same name in different states, e.g. Dayton OH and Dayton TN.) The relevant rule of normalization is "no non-key dependencies", that is, you cannot have data that depends on data that is not a key. If you had, say, latitude and longitude of each city, then this data would be repeated in every record that referenced the same city. In that case you would certainly want to break out a separate city table to hold the latitude and longitude. You could, of course, create a "city code" that is an integer or abbreviation that links to a city table. But if there's no other data about a city, I don't see how this gains anything.
Technically, I would assume that City depends on Venue. If the venue is "Rockefeller Center", that implies that the city must be New York. But if venue is optional, this creates problems. One possibility is to have a Venue table that lists venue name, city, and state, and for cases where you don't specify a venue, have an "unspecified" for each city. This would be more textbook correct, but in practice if in most case you do not specify a venu, it would gain little. If most of the time you DO specify a venu, it would probably be a good idea.
Oh, and, is there really a 1:1 relation between event and sponsor? I can believe that an event cannot have more than one sponsor. (In real life, there are plenty of events with multiple sponsors, but maybe for your purposes you only care about a "primary sponsor" or some such.) But does a sponsor never hold more than one event? That seems unlikely.