Hello!
I understand why the prompt was put in to change jobs when leaving a mog house. "For your safety" indeed. Back in 2003, a job change meant a player may be about to fearlessly charge into the maw of the Omega-hare and it made sense that they wouldn't want to respawn in say, Yhutunga Jungle as a level 3 White mage, endlessly aggroing a Marlboro.
Now, it just adds 10 seconds to the time it takes to get out of a mog house in Jeuno. When in a hurry, it just further add's to that time it takes to get to the fight.
Yes, there are other things I would love to see changed in the game. This is probably one of the few however that manages to annoy me on a day to day basis, since there isn't a way to turn it off.