I think this is an infrastructure problem. In the UK all bank owned ATM's have a Change PIN menu option, and you do not need to use your own bank's ATM to make the change. We don't have (m)any ATMs in the USA with that capability. I think BMO has devised a satisfactory workaround. How often do you change your PIN? We change ours once per card.
I haven't changed mine yet from the one they auto-generated. However, I'm considering changing my Schwab debit card's PIN for the duration of my trip to Mexico starting tomorrow and I'm thinking it may be a good idea to do the same for the DC card.