It means precisely what it says, nothing more and nothing less. No interpretation is required. The computer will not shut down: it will go to sleep, if it is working properly. If it does shut down instead of sleeping, then either a) it was very badly in need of calibration, or b) it's about time to replace your battery.
The reason to save your work before things go that far is the same reason you save your work any other time: so that if anything goes wrong, your work isn't lost.
Kylewont does not understand that you are asking about the calibration procedure rather than normal usage. In normal usage, you would indeed, as kylewont suggests, want to plug the machine into AC power long before it got close to sleeping for lack of power. But if you are calibrating it, you want to keep working until the machine sleeps.
Calibration is unnecessary and not useful in any MBP that has a built-in battery. Assuming that yours has a user-removable battery, calibration should be done every few months to keep the battery-condition readout accurate. Calibration does not have any effect on battery capacity or running time on a charge; it only affects the accuracy of battery condition reporting. If your machine ran for a shorter time after calibration than beforehand, it was because you were placing higher power demands on it afterward.
