He says: If a calamity befalls me, and the first thing I say is "Indeed, we belong to Allah and to Him we shall return," then after that I feel deep sadness over the calamity.

No, this is fine. It is not said to someone afflicted by a calamity, "Do not be sad."

The Prophet ﷺ, when he was told that Ibrahim had died—his son, Ibrahim, when he died, Ibrahim the son of the Prophet.

ﷺ, he said: The eye sheds tears, and the heart feels sadness.

And indeed, we are saddened by your departure, O Ibrahim.

He was sad. On the contrary, this is natural. Whoever does not feel sadness has no mercy in his heart.

A person must feel sadness when losing someone close: a father, mother, wife, husband, son, daughter, brother, or friend. It is natural to feel sad.

And this does not contradict sabr at all. On the contrary, this is correct: those who, when afflicted, say, "Indeed, we belong to Allah and to Him we return." This is what Allah commanded the believers: those who, when a calamity befalls them, say, "Indeed, we belong to Allah and to Him—"

—we return.