When an entity instantiates another entity it won't be displayed in the calling graph.

A short example would be

ent1.vhd:

entity ent1 is
 port ( signal sig1 : out std_logic );
end ent1;
architecture ent1_arch of ent1 is
begin
end ent1_arch;

ent2.vhd:

entity ent2 is
end ent2;
architecture ent2_arch of ent2 is
component ent1 is
 port ( signal sig1 : out std_logic );
end component
signal ent1_sig1 : std_logic;
begin
ent1_instance: ent1
 port map ( sig1 => ent1_sig1 );
end ent2_arch;