I was thinking about the same...but a sudden impedance change can also be a problem.Keep one thing in mind; if you are working on tube equipment, any load interruption at high power levels will (usually) kill an output transformer.
My own home-brew load bank does use high current switches for impedance switching, but is designed such that there is always a hard wired resistor (actually, two in parallel) presented to the load, so that the possibility of a switch or resistor failure will not result in total load loss.