The only issue I have is that I don't leave my lens in place all the time since IMHO it's a bit ugly and draws attention to itself when the projector isn't being used (it's a living room set up). So if I know the film is 1.85:1 then I may as well just select that lens memory setting and not bother setting the lens up. I mostly watch BluRays on my set up so they are usually decent quality sources, so it seems a shame to waste any pixels. I fully understand your approach with TV/games sources though.
A slight advantage over leaving the lens in place is that the side bars are unlit with the lens removed rather than the projector's 'best black'. However I tend to use some simple black velvet side masks anyway, so that's not a reason in my case. If I change to 1.85:1 with the lens in place then the side masks won't be there anyway (I really need to motorise them