Occasionally. I'm set to threshold 1, threaded, highest first, show at +3. If I'm reading a story that is really interesting for some reason, I'll change to nested view so I don't miss anything. And if I've got mod points (and reading a story I'm knowledgable enough about to moderate well), I'll switch to nested, newest first.
But even those times, I sometimes find I want to re-read something in the original story. It's not too hard to back up once, then forward once, though, so I don't worry about it.
In other words, you wind up trading something that you MIGHT want for something that doesn't do you any good anyway. Personally, I'd say it would be better at least to have the option to preserve the article display when reformatting.