Great discussion this, and one which has conjured up questions many a time in our neck of the woods. One I have seen down here is that for Reading to Weymouth (XC then SWT), the booking engines say to change at Winchester. This makes sense as it will be the same platform. Although the two services shadow each other for sixty miles, the other stations are less convenient - only one of the two Weymouth trains calls at Basingstoke, Southampton Parkway is exposed and draughty, and then at Southampton and Bournemouth a platform change could be required. Plus the Café Destino at Winchester does a cracking bacon roll!
With walk up tickets, the passenger really can make their own mind up with where they change, however the concern I have with Advances, which come with reservation, is that by changing at a different station, the seat allocated for the balance of your journey may be reserved for someone else on the "switched" leg. With Voyagers so busy, and some seats seeing four different reservations in a trip from Bournemouth to Manchester this is likely, and so if you switch at a station different to where your itinerary has arranged, you may find your seat already occupied if changing earlier, or being turfed out of your existing seat if you stay on and change later.