That's unusual. How did you connect the RTD? Did you go through a bulkhead connector? Did you use the same type of wire all the way to the PID? If there's a difference in wire types, or it's wired incorrectly, you could easily get a 4*F error.
EDIT:
I've attached a link to a page on the Omega site. If the RTD is properly made it's characteristics should meet an industry standard. Therefore, if calibration is required it would be due to the sensor conditioning hardware, not the RTD. So it's possible that the specific controller you're using may require calibration. However, if the conditioner hardware is designed well then calibration shouldn't be necessary.
Description of RTDs/pdf/RTD_Gen_Specs_Ref.pdf