In reply to Ksharp.

1. The confidence limits for loess require forming an NxN matrix, so, yes, there is a limit.
2. For large data, the CLM will be tiny. You can use the PROC LOESS method to create the calibration plot without CLM. I suggest manually specifying SMOOTH=0.05 or some small number to prevent automatic smoothing selection.
3. I doubt you will see anything interesting. I ran a few simulations with correct and incorrect (misspecified) models, but the curves all tend to wiggle near the identity line.

Hope this helps.