Personally, I'd check my intonation whenever I change gauge. When I switch from 9s to 11s, I did adjust the intonation a little, but when I switched from 11s to 10s, the intonation wasn't affected, so I didn't adjust it. Anyway, you can just do a quick check if your intonation is out by playing chords on the higher frets and see if it sounds weird. Alternatively, you can do a proper intonation check if you'd like.
One thing you should check if you change string gauges is the curvature of the neck. If you switch from light gauges to heavier ones, the neck might bow a bit more due to the tension, so you might need to adjust the truss rod to relieve the curve. Neck bows might cause fret buzz.