Things changed improved drastically in Mendix 9. One of them is that Mendix itself takes care of the compilation of the scss-files to css-files. You only have to change them and save them. That's all, no Calypso needed anymore.
Btw. new Mx9 projects will probably use AtlasCore. If you upgraded a project you might want upgrade Atlas UI to Atlas Core, Takes a few steps.
As mentioned, are you using Mendix version 9.9.0 ? Then you dont need calypso anymore.
Otherwise please refer to this https://docs.mendix.com/howto8/front-end/calypso/.