I think food should be enjoyed how you want to, so if you like it, keep eating it.
But that being said, I prefer my calzones to be like a heavy loaded pizza folded in half. You have more structure to cram more tasty food in there.
I think having sauce helps prevent dryness and adds more flavor. But beware, a soggy calzone is a sad calzone to me.

Have you ever tried a pastel? Its a Brazilian food like a calzone, in that it is dough stuffed with meats and cheese, in any combination you like. Although it is fried, not baked. Not very healthy but it sure is tasty!