I'm curious about this too.
Just to let you know, I have REMOVED it for cleaning, but never changed it. It is very easy to do.
What I want to know is if the x-tra one provided with the D2X is any different/better.
I have found that I am doing more and more manual focusing with the D2X. The screen that comes on the camera seems to work pretty well for this.
In particular, if there are any regular patterns in the image, I see a shimmer when the pattern is in perfect focus. Funny how I never noticed this until I went looking for it.
So far as dust goes, I bought all of the gear to clean sensors, but I have never once had to use it. I will check for dust now and again, and when I see it I am finding a few good blasts with a Giotto rocket works quite well.
Now, does one expose the sensor when changing screens? I wouldn't think you need to do that.