It appears compass calibration only matters if your phone is using an app to direct you to the True North pole of the earth. This app could be the actual compass app or an any app that uses pulls compass directions from the phone.
Basically, depending on where U R in the world, be it Nova Scotia, Florida, Mexico, etc., the magnetic north is always off from the true north by a few degrees. Therefore, these degrees, called the Magnetic Declination, will vary depending on where you are on the earth. If you have your iPhone Compass app set to True North, your phone will poll your location when you pull up an app requesting compass directions, and use that location to determine the Magnetic Declination, which in turn, is used against the phone's internal Magnetic North, to determine. For example, in Florida, you are about 6 degrees west of Magnetic North, therefore your iphone will add 6 degrees west to its internal detection of Magnetic North to determine your placement.
So, you see - if you disable Compass Calibration in Location Services, then go to your Compass App, "True North" will be greyed out - because you're not allowing the compass to access your longitude/latitude - which determines the Magnetic Declination. In other words, should you use it? If you are using an app which requires more accuracy for compass directions, yes, and set your Compass App to show True North. If you don't have True North selected in your Compass App, then it won't poll for your location, and it doesn't matter.