My baby wasn't fussy but my wife was. Result, we went through 5 changes of milk in the first 3 months. My wife, naturally wanted the best for out baby. As we live in China, she was worried about the safety of domestic milk brands.
We started out with a Dutch brand and she bought two bottles then I pointed out that the milk was form Indonesia and bottled in Hong Kong, so she went off that. We switched to a New Zealand brand. The baby poo became thicker and green. While we were told this was quite normal, my wife demanded another switch. We opted for Bellamy's, an Australian Organic brand at four times the price of the first brand. However, my wife still worried that the shop might be selling fakes so I arranged for an Australian friend to post me out cans of milk powder. This almost doubles the cost of the milk but the Australian price is less than half the price in China so it works out as a small saving. Though still four times higher than if we opted for a local make. My wife is now content with the milk supply.
Long story short, the baby had no problems with any of these changes. I'm sure some brands do tasted different. My wife claims so. Thus some babies might reject some tastes but if your baby likes the milk, an you are happy with the quality, then why not.