Your query doesn't select that data so why are you surprised it isn't returned? As I suggested in the comment go read a good SPARQL tutorial like SPARQL by Example or pick up a copy of the excellent Learning SPARQL book from O'Reilly
The query you wrote selects triples where the object matches a regular expression and only those triples. If you want to select the start and end times as well you need to add additional patterns to your queries e.g.
PREFIX nss: <http://www.example.org/startTime>
PREFIX nse: <http://www.example.org/endTime#>
SELECT *
WHERE
{
?s ?p ?o .
FILTER(REGEX(?o, "May", "i"))
?s nss:startTime ?startTime ;
nse:endTime ?endTime .
}