Again, like your comment about hand tightening connectors giving consistent results
this is subjective matter. i wont make a reply to your previous query, since it will (usually) make further stir or arguments. if your measurement indicated nonconsistency, then you are free to use other means such as whats suggested by the standard, to use wrench to the specific torque figure. as i said, i thought i've followed the standard torque figure, i'm not sure what was wrong, my china cheap torque or the figure, it was just not up to my expectation, having knowing how much a good CAL kit costs i'm not going to get another one soon again. but that is just me. and the cost for good quality torque wrench is another decision to think about, they are not cheap either.
I didn't notice any papers for the cal kits supplied with mine. Let's assume you found some numbers. While the metrology grade standards I borrowed use a common set of characteristics, you can imagine the machining/assembly tolerances on these are tight enough to support it. Can we say the same for the standards supplied with the Nano?
this is the reason why there are CAL kit that cost hundreds or thousands and there are that costs only few dollars or free. can you hope the machining tolerance of CAL kits provided for free with Nano have the same stringent process as those made by Agilent, R&S et al that cost thousands? even with stringent and quality process, CAL kit from brand names will always come with their own unique profile/characteristics/s1p/offset/databased files.
the CAL kits from Kirkby Microwave probably the same construction as the Nano's (with some nice additional features such as both genders, Open Load with nice opening on the cap to distinguish from Short (fully closed cap) Load, Verification attenutors all s1p/s2p characterized and foamy water tight w pressure release Pelican case), but the price on Kirkby's kit is mostly due to work done to characterize it and provide the data to customers in relative to a well known, good quality and metrology grade calibrated T&M equipment and standard kit. i was paying for Mr Kirkby's expertise, work and initial investment on tools. i think i can buy $5 CAL kit from China and have him characterize it for me, but then he will charge for the service the same as what i paid for his CAL kit in the first place. to put it another way, peoples or companies are willing spend high price just to keep their equipments such as DMM or DSO calibrated by metrology lab for every year because they know/appreciate/need what measurement accuracy assurance and tracability to metrology standards are. we can make our DIY tools such as DMM or DSO or VNA/CAL kit if we want, as we like and be happy with the measurement result, and most of the time its the practical way since we are only doing arduino and $5 cheap/personal use stuffs or hobby ham/radio/rc projects. but without tracability to standards, as you said, we can kid ourself. comparing our tool with an accurate standards at least we have educated/proven/known way on how to compensate measurement accuracy esp when we are dealing with customers thats going to ask stuffs like this, reliability, accuracy, quality etc... if you search this forum about VNA subject and google for app notes more, you'll know more..
So, does it make sense to attach a $1000 cable to a $120 Nano so you can use your $10,000 standards with it? 
imho. the answer is yes. there were discussions in this forum and here and there in the net that i agree with. VNA is just like a blind measurement tool, its just an s-parameter calculator tool with enough peripherals/components/circuits/rig to test a DUT. but it needs sort of a good "boundary condition" to complete the calculation correctly, that is a good and well characterized CAL kit. you may not need to put $1K cabling in there since they will probably be "de-embedded" in the calculation (behind the measurement 's plane) but think of CAL kit that you use during measurement as a "voltage reference" IC in every quality DMM. the more far off the Vref wanders from true value, the more wrong you measurement will be, how much far off is the characterization process we usually found in Vref IC's datasheet figure. the characterization process for CAL kit is its S11 plot/s1p/offset profile. although you can find characterization plot on some choosen CAL kit from SDR web site, but machining process will make different CAL kit's profile will differ to another set by some amount, how much the amount? you need to ask manufacturer, it will be nice and easier if we have the exact character for our own unique set come from factory, no need much "re-compensation" to correct measurement result. unfortunately a well characterized CAL kit is not any closer cheap to a well characterized Vref IC in every Fluke or Gossen DMM. ymmv cheers.
btw: i urge members and friends to get at least Kirkby Microwave's grade CAL kit standard, ie with characterized s1p/s2p files and S11/S21 graph plot for each kit. from what i know, you cant simply make this thing up from some fancy PC softwares, the kit is characterized based on much more expensive/characterized/calibrated CAL kit and equipment brand and bandwidth. Mr. Kirby also care enough about our measurement and device accuracy by providing extra -3dB "Verification" attenuator with its characteristic data similar to the CAL kit purchased. there are few benefit for this other than simply to use it as measurement standard. (1) measurement accuracy assurance from expert in the field (2) instrument verification so we can know if our VNA is good HW and FW built or else based on some proven concept/study, i provided the link (to a thread that links) to Kirkby Verification process above in earlier post. (3) we can discuss and help each other out if we have confusion about this matter esp on how to use s1p/s2p cal kit files correctly into VNA View SW. i'm sure some of you have better understanding in some other aspects that you can solve puzzles easier more than we can. i'm not affiliate of Kirkby, just a happy customer. cheers.