When a connector is mated with another connector, the pin geometry changes slightly, which will alter its electrical parameters. This is especially true when using microprobes instead of cable ends.
Also, the "open" standard of a cal kit will be supplied with calibration files that tell the VNA what the value of capacitance across the open is. This is necessary because it's not a perfect open--there is still some reactance there. If you were to calibrate assuming that the open was perfect, you'll get inaccurate results. The same is true with a shorted load, except the inductance is more important. Because cables change from one to another, you can't assume the value of capacitance will be constant between them unless you use a pre-measured standard.