I'm not a cal guy, but here's my thoughts.
1. Having the BNC setup will likely come in handy again at some point, even as individual cables. Caution: if you try to calibrate with different length cables, it'll fail. BNC cables are generally pretty cheap, it's the 50 ohm and RF stuff that gets pricey in a hurry.
2. It will overwrite factory & service center cals and invalidate those parameters
3. Getting a certified cal gives you traceability back to known NIST values. A self cal will help converge uncertainty, but not necessarily to the actual correct value (higher precision, but unknown accuracy). Anywho, that's what the cal guys tell me. Doing a self-cal can be helpful, but if you're really needing certified traceable measurements get it to a certified cal lab.