Hi Laurent,
Glad to hear you're getting good data!
Self-calibration will remove many of the ADC errors. System calibration will help remove the errors before the ADC.
Changing the data rate and PGA should not affect any of the circuitry before the ADC, so self-calibration should be sufficient in that circumstance. The main thing to be concerned about is when those circuits may shift in offset and gain error. You may have increased system offset and gain errors on power-up (before the circuitry warms-up) and across temperature for offset and gain drift.
It is fairly easy to perform system offset calibration (by using a switch to short both inputs to a mid-supply voltage). System gain calibration is more difficult because you need to have an accurate full-scale input voltage handy. Many times gain calibration is only performed in the lab where accurate supplies are available. If the system needs to operate in the "field", system gain calibration will only be performed once before "field" operation, and then periodically when the system is called back for re-calibration.
Regards,
Chris