Well, the OP's question was about the etiquette of doing it -- not what's your preference. I find lots of other people's personal preferences odd too, but make no apologies for this preference for me... And, yes, this is is all truly a first world problem. Comfort matters but for me it is more about keeping clothes fresh.

For me? Depending what I need to do when I land, I prefer to keep my street clothes fresh as I rarely have access to an arrivals lounge. Flying 10+ hours, then layover, connecting flight is a long time in the same clothes, particularly slept in. If the rest of my day after landing is to a meeting (business or friends/family), prefer to land and have fresh clothes. If the rest of my day after landing is getting into a car or train or touring a city because I've landed in the morning, prefer fresh clothes. There are lots of reasons why I just prefer it. If I have enough time connecting after a 10+ hour flight and have access, I'll utilize the lounge shower even. I could bring spare clothes and change when I land, sure, but wearing PJs on the plane just is easier for me and saves me opening my main carry-on bag as PJs fit in my small pack.

As an aside, I've also spent enough time on planes and in airports near people who have clearly been traveling in the same clothes for 24+ hours who I wish had changed... :-)

As they say, YMMV.