I'm fairly sure this has to do with the options I chose when I first opened SSMS, where I asked it to import my settings. Regardless of why it happened, my Change Connection command is gone from my context menu when editing XMLA files:
I use this quite a bit as we have many environments and most of those environments also have staging environments. Here's now to manually add it (and add it to add it to any other context menus you want)
Select Tools > Customize...
Click the Command tab, then the Context Menu radio button and scroll down to Other Context Menus| Code Window
Click Add Command, scroll down to Query, and select Change Connection
And now you have your Change Connection command back