You do not HAVE to change the strap. I do not change mine at all when bathing. I leave it on leather 100% of the time. Granted, I have not gone swimming with it yet, but when I will, I am leaving the leather strap on. After all Withings sent me another leather strap free of charge.
Do what you want, it's your watch. However, Withings say you need to change it before swimming, emphasis mine:
"You need to replace the wristband of your Withings Activité ™ for your workout sessions or before going under water to avoid any damage to the leather."
https://withings.zendesk.com/hc/en-...place-the-wristband-on-the-Withings-Activité-