It wouldn't make much sense to have a piety change when you change a school I think.
The entire point of Schools is to determine how you approach the religious sources (Quran, the Sunnah etc) and apply them in governance and society. If you are at 100 Piety and go from Hanbali to Hanafi, you're literally saying "I am 100% for Legalism over mystic practices, btw I'm completely changing our approach to the sources". You're quite clearly saying that *maybe* your current approach is less than stellar. This should knock your Piety down by a fair amount.