I told so often here before, but I'll repeat me again:
The app cannot find out on ground if the compass is calibrated correctly or not. It can only check the values returned by the three magnetometers (X, Y, Z) to be within a valid range or if at least one of them is outside because it was influenced by a strong magnetic field before. The app also does a plausibility check based on the drone's actual orientation in space, based on the accelerometer values.
As the strength and orientation of the earth magnetic field is different in Shenzen to other locations all around the world (in fact it can vary significantly even in short distances of maybe 50 miles) the calculated heading may be different to the drone's real heading. If the difference is within a tolerable range the drone will still fly, but may not fly straight forward or swim around the hovering point, at least in low-light conditions when the optical ground sensors will no longer stabilise position.
If the difference is bigger than the tolerable range the drone will perform the so called "toilet bowl effect" (remember, without optical sensor stabilisation) and finally a flyaway can happen.
So what happens there? The drone drifts a bit and the GPS data tell the flight controller that it should correct a bit e.g. with flying southwards. The FC "knows" from the heading derived form the magnetometers that its nose is actually pointing e.g. in east direction, so it will initiate a roll to right to move sideways in south direction. Now imagine, that heading is wrong and in realty the drone would point in north direction. The roll to right then moves it to east instead of south. The FC tries to correct by increasing power and roll and it gets even worse. The FC looses orientation in space and the drone does a flyaway.
With actual DJI drones the FC will detect the flyaway, pull the emergency brake and fall into Atti mode. Then it's up to the pilot's skills to save it.
And finally imagine the long trip of your drone from Shenzhen to your location. A lot of things could have happend to it because you don't know what was transported next to it. Maybe there was a package of super magnets or the main power cabling of the airplane. Such influence can magnetise material within your drone or even the sensor. And this adds on top of the earth field difference between Shenzhen and your location.
I hope everybody now understands why a new drone should ALWAYS get a compass calibration before first takeoff.
Maybe it's not neccessary because your local magnetic environment is similar to Shenzhen and there was no influence during transport, but do you really know that? So be on the safe side!