If the copy protection is used (after all, that is the reason why people ---use--- sell HDMI and not DVI) then a connection is established between two HDMI devices.
Most hardware is stripped down and only allows one device to be used.
If you switch to a new device then there is a short pause while a new connection is build.
If you used more hardware (read: more expensive) then you could avoid that, allowing faster switching between input channels