Each time one a mega-event takes place in one of my games, I consider if I want to continue with it, or not.  If I choose "no", then I simply retreat back a save.  The one that draws my ire the most is "The Jabbed Knife" one.

I believe the mega events are (with a few caveats/restrictions) random.  At least, in practice, the work-around I mentioned above has sufficed.

The Dread Lords aren't even a mega event, so turning those off wouldn't help.

Events like that are not entirely random, but the start date is. Some play styles attract random events like magnets, while others rarely see anything. Illegal time travel (the above suggestion) will get rid of nearly any negative event - AIs declaring war is a notable exception.

I'm new to this game and was just hit by the The Jabbed Knife. Got to say I was pretty pissed by this - not even a fight, boom, 3 planets gone.

But it seems, from the manual and from WIlly's post that these can be turned off. Where is that? I checked the options and didn't see it... Can it only be selected when starting a new game?

Yes, only at the game set-up.  Otherwise, "Illegal time travel" is your only choice after the game has started.

I actually like the Jagged Knife.  I consider my war against them to be my finest hour, liberating 100 worlds.

Where illegel time travel comes in handy is the "5 pc speed limitation" event.

I NEVER tolerate that one.  Ever. 

As for the Dread Lords, I've always considered their arrival to be weaksauce.  They've never been a major threat.  It's the damn Pirates and Peacekeepers (unless the PK decide to be friends with you) that will really drive you crazy.

The Dread Lords most certainly ARE a mega-event, but they shouldn't be. "Here's a free Class 40 planet" isn't what you'd call a major game shifter, except perhaps in your favor.