I have never sent a probe out for calibration - as you pointed out, the probe (along with the probe holder) are calibrated with the machine as a part of your regular (hopefully daily) calibration routine.
You -=MIGHT=- want to add them into your calibration database, for visual inspection for signs of damage, but that would be all that I would do.
With the above being said, I could be absolutely wrong. Fortunately there are a lot of other Covers here who have much more experience with this than I do.
here's a question for yall. Do you, and if so how often do you, send out CMM probes to be Certified by a Outside Metrology Lab. Or is it at all necessary, because the probe is calibrated to the machine? 
