The Vishay foil resistors have very low equivalent series inductance and shunt capacitance, especially when compared to wirewound resistors that have both.
With both parasitic components, the reactance will vary considerably over frequency.
For the foil resistors, measuring them with a cheap LCR meter is probably sufficient, since the reactive components are small.
(Note that medium-value wirewound resistors may actually have capacitive, not inductive, reactance at the high end of the audio range, but you need to verify this for your resistors.)
I understand and that was what I was doing or trying to do usually but I dont know if this improves anything or even make it worse.
Maybe an example. A 500R Vishay Z (0.005%), an handheld LCR meter, after open/short calibration, measures Z=499.8 theta=0.00. On 4263B, after open/short calibration, it measures Z=499.83, theta=0.00. Now, if I Load calibrate this with Z=500, theta=0.00, is it a good thing or not or does it matter for this device ?
Edit: With R-X parameters, 4263B shows fluctuation around 5-10mOhms@1kHz. After load calibration with Z=500,theta=0.00, X fluctuation moves a little bit lower, something like around 0.
Edit 2: I realized there is this note in the impedance measurement handbook, so I guess I can measure it with the fixture (not test leads) first, but the shorting bar might be a problem: „The impedance value of the load must be known before performing the open/short/load compensation. To measure the load value, it is practical to use the same measurement instrument, but under the best possible measurement conditions. Set the measurement time, averaging, and test signal level so that the instrument can measure the load with maximum accuracy. Also, use a test fixture that mounts directly to the instrument. Figure 4-9 shows an example of such a measurement.“