Is each individual CPU calibrated before being shipped?
In a CPU per se, no part requires calibration. Pure digital logic does not need it. In a microcontroller (combination of CPU+periperals in a single chip), the only parts that would need calibration would be the internal oscillators, and eventually a few specific elements for particular peripherals (internal references for ADC/DAC, maybe some internal termination resistors for USB, ...). But this depends on the microcontroller capabilities.

If calibration is required, it is done directly on the wafer during production. Once the chips are made, some probes measure the elements needing calibration (e.g specific resistors, RC network frequency, reference voltage, ...) and either adjust their value using laser trimming, or, in some cases, just store the value read in some part of EEPROM, for later use by the firmware.