Apple OS X (not Pages) does not install the Calibri font which is copyrighted by Microsoft. The installation of Office for Mac 2011 will install the Calibri font into OS X system font locations. Office 2016 for Mac keeps its fonts resident within the individual application bundles.
Pages expects fonts contained in Word documents to be present on the Mac, and produces that warning box about missing Calibri font as a result. MS Office also has the ability to simulate bold and italic font attributes when those actual font family members are not installed on the PC. Pages will warn about these faux fonts as they too, are not installed on the Mac.
OS X installs Times New Roman, and Helvetica. The latter can be your replacement for Calibri. Otherwise, you will need to install Office for Mac 2011 to get the Calibri font. There are those that have posted the Calibri and other Microsoft fonts on the Internet for download, but that is in violation of Microsoft copyright — which is not encouraged here.