Johan,
Hyperspy 0.6 does not read correctly the calibration of some dm3 files. This is a known bug that has been fixed in the development version. Upgrading to the version 0.7 once is ready should fix this problem for you. In the meantime you can use Pierre's workaround to manually set the calibration.
Actually, HyperSpy 0.6 reads correctly the dm3 files but it fails to find the information in this case. The calibration information for your file is stored in this attribute:
>>> s.original_parameters.root.ImageList.Number_1.ImageData.Calibrations
├── Brightness
│ ├── Origin = 0.0
│ ├── Scale = 0.133511349559
│ └── Units = e-
├── Dimension
│ ├── 0
│ │ ├── Origin = -2300.0
│ │ ├── Scale = 0.20000000298
│ │ └── Units = eV
│ └── 1
│ ├── Origin = 0.0
│ ├── Scale = 1.0
│ └── Units =
└── DisplayCalibratedUnits = True