Most PC DVD drives do seem to "lock" onto the first region loaded, but in the case of PCs I think you're given up to 9 chances to make it right. For example, I had a real problem burning any DVDs on a DVD-R drive until after playing a movie (before, it would just crash and give random errors).

A lot of inexpensive home DVD players really just have a PC drive inside, so perhaps this still occurs, although it would have to be programmed to do so.

However, many brands of DVD players are set in firmware to a certain region and don't lock onto anything.

On the other hand, some "non-mainstream" brands offer complete, unhindered region changing, either via hidden or very open menus.