That’s always the challenge with calibration, you have to acquire all the sources first, which are not cheap unless you need to do cal regularly. Even if you have these sources, you still need to verify that they are in spec, and that the value are really what they claim to be, or what the true value are (you will need a calibrated DMM) for that. Otherwise you are calibrating to a wrong value, which is a waste of time, a half-effort can be worse off than no cal. It is far cheaper to pay a cal lab to do the work rather than doing it yourself if you want a true cal unless you have access to all these sources that are calibrated. For the 6.5 digit Keysight meters I have, you will see fluctuation in the last 1-2 digits for the cheaper cal sources like those Chinese voltage calibrator, they are simply not stable enough for high precision cal. But they are good enough for handheld DMM.
For the accuracy of a handheld meter, I would only calibrate if they are noticeably off. As others have stated, cal file is hardware component specific, you can't copy them across hardware. If it is common, they would have just used that one file and be done with it. It would definitely take you off spec if you copy cal file.
If I want a well calibrated handheld DMM, I would buy the professional Fluke (not the low end Chinese made models). I don't pay for the traceable calibrated models from Fluke, but even for just the regular models, the reading are consistent with my NIST cal Keysight meters out of the box. If I buy a cheaper DMM, by the time I add the cost of a cal to it, I might as well buy the Fluke. Besides, the Fluke has lifetime warranty.
I don’t have experience with the quality of your meter so I cannot comment on it, my suggestion is to see if you can verify the reading against a calibrated meter, and only touch that if you see a big difference.