When to change calipers and when to bleed...
 

How often should you replace your brake calipers, and is it necessary to bleed your brakes when changing your pads?

You typically don't change calipers, unless they fail (leak or the car does not brake properly). It is a good idea to drain and bleed the entire brake system during the brake job, but if not, at least bleed it.

Best practice to:
bleed when you change your brakes
open the bleed valve when compressing the piston back
inspect the piston dust boot
if dust boot is dislodged, pull and inspect the piston and rebuild or repack the caliper as necessary

Only if the piston is bad would you need to replace the piston or caliper(as a whole). However, since replacing the calipers is not a maintenance item the your question actually is "How often should you rebuild your calipers?" Rebuilding the caliper is simply replacing the dust boot and piston sealing ring. The answer for a street car is the piston sealing ring should go 15-20 years if nothing exciting happened to it such as the dust boot was dislodged and trash built up around the piston.