I did notice that if one were to switch between 2 & 3-tube setting whilst the WA8 is on, then yes there is distortion but I don't believe that's how the switch is supposed to be used. When I had it at 3-tube, I switched off the WA8 & powered it on and no distortion.
Yup it's stated in the manual as a caution that you must turn off the amp before changing the gain (i.e. between two and three tubes). Failure to do so may not only result in distortion but may also damaged the amp.
I understand however that many people don't tend to read the manual because it seems like a straightforward amp to use.