Right, the wave spreads out into the higher-bulk-impedance but shorter/wider perimeter, which balance each other out for zero total effect.
That's still a very hand-waving explanation, but may help direct your intuition.
I suppose there will still be a small change, a perturbation, but this can be ascribed to the non-uniformity of the wave within the transmission line: the wave does not change and spread out instantaneously around the discontinuity, but gradually.
And just based on how this is phrased, we would expect any such effect to depend on frequency, getting more noticeable as frequency rises.
It's important to understand that transmission line is a waveguide; waves do not propagate freely, but are confined in the space between two conductors. In particular, the cross-sectional radius and circumference of the transmission line must be less than a fraction of a wavelength to support the TEM00 mode, exclusively.
When there is a frequency-dependent effect, we can probably match a corresponding geometric dimension to it. There's only one dimension we can pull out of the boundary conditions so described: the diameters of the two transmission lines, or their difference. This isn't much to go on, and suggests that, if anything crazy happens, it happens at very high frequencies. But we also know that crazy stuff happens at high frequencies anyway: above the mode breakup cutoff, TE and TM modes arise, and velocity and impedance are all over the place.
So, at best, we would be probing the asymptotic tail of any effect, operating below the breakup frequency where the transmission line is still well-behaved as we expect a transmission line to behave. Above breakup, sure there will be a difference, but it's either obscured by the chaos of mode breakup itself, or sensitive to unaccounted-for errors (like the relative position and angle between transmitter and receiver on the line, or asymmetry in the line geometry itself), or simply not useful to us at all -- because we generally seek to avoid operating transmission lines above mode breakup.
When we derive simple models, like the familiar coaxial transmission line formula, we make various simplifying assumptions about the system; one such assumption is that cylindrical symmetry is obeyed, i.e. the wave sees a constant boundary or cross-section at any position along the line, and at any instant in time (and in both directions, but nonreciprocal lines are hard to make, heh). Clearly this is violated if we change medium and geometry partway through; this isn't at all an explanation of what will happen, but does suffice to explain why it can't be a simple one- or two-dimensional solution anymore, and we must invoke a full field solution instead.
We may still gain insight with one last low-dimensional adjustment: if we account for losses of the materials (including skin effect), we find the velocity and impedance are not independent of frequency, but indeed vary: dispersion. The dispersion of the two lines may not match, and thus we can express the perturbation as a frequency-dependent impedance mismatch.