Mode switches are electrically "nasty". When the source timings (the biggest deal is usually horizontal frequency, but number of total lines and vertical frequency can cause problems, too) change, there are lots of electrical transients as everything adjusts and settles to handle the new signal. These transients can be pretty harsh (big voltages, for example). The situation is usually worse the further "apart" the two modes are: e.g. switching from CGA to SVGA and back is usually worse than VGA to SVGA and back.
Your cheap crappy CRT PC monitors last forever because you're not doing a lot with them. You turn it on, it displays stuff, maybe you switch resolutions a few times to play games, and, likely several hours later, you turn it off. If you switched between VGA and SXGA on them every few minutes (which is basically what some people do when using a multisync arcade monitor for MAME gaming), they'd probably die within a year or possibly even sooner.
I'm not trying to say that mode switches will kill your monitor instantly. Lots of people do it for years and never have a problem. However, it does seem to be one of the more common things leading up to failure on newer multisyncs when used in MAME applications, and the OP seemed to be concerned about this very problem. There is some cause for concern, but it's nothing to go nuts over. Use the machine however you please if you don't feel any concern.