Georgia, Calibri, Arial, Tahoma, etc. are all Windows fonts.
Android doesn't come with them built-in.
We can encode these font names in your composed message, but we can't display those exact fonts and so make Android fall back to generic "sans" which is usually Roboto (or Droid Sans on earlier Android versions).
As for how to install - there are third party fonts in Play, not sure if Calibri / Georgia are available though.