I'm running MacOS High Sierra, and in the last few days it has started sending me notifications for US Holidays on the day before the holiday (I was notified about Valentine's Day and President's Day, but not about MLK Day last month). In Preferences I have notifications for all-day events set to None, which is the advice given in this Quora answer. It doesn't seem possible to edit the alert settings for individual events in this calendar.
The only change I've made recently is that added a subscription to our company's Outlook calendar. It also has a US Holidays calendar, but I have it unchecked, so I only see the holidays that come from Apple.