My tractors are HST, so I have no experience with gear tractors.
That being said, since tractors are geared low enough to start on the level in any gear, why would one want to shift while running at some speed?
Starting up a steep up hill grade might make a difference, but why would one want to start up a steep grade in highest gear anyway?
So after a try or two, I would conclude that the tractor is not meant to be shifted between gears when moving...just common sense being applied, not that I have any of that, but hopefully I do...