My guess is that, much like how Gwyn and Garret each resemble one parent, Cait is meant to mirror her mother and Calla her father. One thing that should be understood about Calla's life is that Jassira doesn't sound like the easiest place to live.
Jassira a dessert country which (i'm guessing) means that while metals like copper, gold and silver are abundant, food and potable water isn't easy to come by; the rulers and temples are rich, but the townsfolk aren't. This also would mean that Jassira is very reliant on nearby empires for obtaining most of their food, or most of the citizenry lives on foodbanks and oasis. I recall one character mentioning the the Belharan empire pretty much rolled over Jassira in one of their conquests, and that would make sense if that were the case. Sex seems to be one of the biggest commodities in Jassira; any character talking with Cait mentions how sought after a temple harlot is. Leorah bemoans her life as a child in Jassira and talks down to Cait as though she were raised with a silver spoon, leading me to believe while the Harlots weren't royalty, they were far from wanting.
All of that being said, lets move to Calla's personality. She's described as adventurous and rebellious, and was born to a temple harlot. Cait tells us that her sister frequently ran away because she became antsy staying in one place. Calla probably saw the state of the common folk and blamed their poverty on the church who only opened themselves up to paying customers. Being that the church is so interconnected with sex, it would be strange for someone belonging to the church to not be promiscuous (in other words abstinence was her small, petty rebellion). It should be said that Cait is a firm believer in Mallach, so anything she says will have bias towards the temple; my guess is the reality is somewhere in the middle -- temple life wasn't easy, but it was far from bad.
All of this is speculation and Calla could easily have 10 other reasons for keeping her virginity. Maybe she loved someone and was saving it for them. Maybe she was too busy thinking of adventure and sex was but an afterthought. Maybe she just didn't believe in Mallach's teachings and it felt wasteful to have sex in his name -- which leads me to my next point: religion in Savarra is much different from how monotheism was in our middle ages (the most easily comparable time period in our world). I won't spoil the living gods' existence (in case you haven't done the salamander quest), but their existence is largely repentant and the ones we have met don't seem to have much interest in ruling over their people. In our timeline, if you didn't believe in your patron deity, you'd be labelled an apostate and either killed or bannished; in Savarra, from what I can tell, people don't seem to care much which living god one follows. I think Cait mentions there's a little religious tension between Hawkethorne and followers of Mallach, but they don't throw her out of the village for her religion (this also might have been a joke about Mallach being a cat). Calla may just not be a follower of Mallach.
Tl;dr - Calla is rebellious and might not believe in the sex religion.