Jet/PM say there is no problem with switching the direction, even when the lathe is running at speed. VFDs have a programmable deceleration/acceleration, default setting is 5-seconds. (You can change this if you want.) The motors used are 3-phase which allows a lot of control.
Note that the deceleration is not simple a drift to slowdown, it's a "powered" and controlled deceleration. I've switched directions on both my PM3520b and Jet1642 while it was running a full speed of about 3000 rpm (the speed I often use with thin spindles) with no damage. I've been doing this for years. At higher speeds I think the VFD simply provides more active electrical force to cause the lathe to slow then speed up again - there is no significant stress to the motor, perhaps a bit more heat in the braking resistors.
You might not want to try this with a non-VFD 2-phase electrical DC motor!
Of course, as you mention, there is the danger of a heavy piece loosening the chuck on the spindle threads. With a heavy piece, I first turn the speed down manually then flip the reverse switch and turn the speed back up. Even that works without securing the set screw on the chuck. (No big catches allowed when running in reverse without the chuck secured!)
JKJ