Does your lease make any reference to this?. LL doesn't normally have to change locks. You could change lock barrel yourself but you would need to let LL know or get an ok from the LL to change this.Otherwise you could be accused of damaging the property or modifying the property without agreement.
I would also say that you should give the LL a copy of the key because they may need to enter the property in an emergency e.g. Flooding to turn off water or another emergency.
In previous years I was a landlord and used to change the locks when someone moved out - I had two sets and turned them around after each tenancy. It was fairly easy and I can if I can do it anyone can. There was a vaguely amusing story about a current tenant getting woken up in the middle of the night as someone was trying to open the door and couldn't as the locks had being changed. The current tenant opened the door and there was someone there, drunk and distraught, asking him where was Tommy (invented name of previous tenant) - he had moved out about six months before. It later transpired that the previous tenant had broken up with this boyfriend and the midnight caller was the ex-boyfriend who didn't know that Tommy had moved out.
I have a few rented properties and locks are always changed for each new tenancy. I find tenants rarely give you back a full set of keys anyway and who is to know how many extra was cut by them.
It gives great piece of mind to a new tenant and starts every tenancy off on the right foot. We also endeavor to change alarm codes too.