In analog meters the mechanical zero is usually calibrated before each use, depending on the precision of the measurement. If you are trying to measure a low value in a given scale is quite important to do so. Note that for resistance you would be considering the resistance of the leads and all around so won't be true zero while for voltage or current it will be much closer (just noise), so when measuring low resistance values you usually set zero and then measure, then zero back in the voltage range.
For the electrical calibration, would do the job for the gain, or max, range, etc. Again, if you are trying to measure a given value and you have a similar reference you could calibrate right before with that reference to use the instrument to make the transfer.
Now days it doesn't make much sense doing that, when using analog meters you are not expecting to get a highly accurate or precise value (usually) but take advantage of the continuity of the measurement. One application where a DMM can beat an analog is checking a potentiometer, if it has some problem in the trace you'll see the needle dancing instead of going smoothly in one direction as you move the wiper, in that case the calibration is not important. Some people like to do quick checks with analog meters, then again, you're not looking for 0.5% measurements. For those applications when you see the meter is not making much sense you check the calibration.
JS