Over the years there have been a number of warnings issued by the MHRA that inform organisations to be alert to callers impersonating their staff (the latest of these being the 1th February, 2015).
Although these warnings are specific to the impersonation of MHRA staff, it is a reminder to be vigilant at all times, whether at home or at work.
I think the warning here is that you should check the identity of anyone asking for information or of visitors that have arrived without an appointment – regardless of who they are, or claim to be.