I don't think it ever actually happened in my games, but if a player wanted to change PC, I'd let her do so freely.
I don't DM to provide enjoyment for the players, I DM to provide enjoyment for myself and my friends. I don't put myself before them but I don't put them before myself.
That said, I really believe that my plans are not so important that they cannot be changed. As a matter of fact, my "plans" are normally about the playstyle, the campaign themes and flavor, and sometimes a few key ideas that can be either narrative or functional. My "plans" are not about things proceeding in a predetermined way, in fact I love using the dice and random tables to make some decisions in my place. In the same way, I love seeing players really determine what happens in the story, so that also for me it feels like watching a movie I don't know the ending of.
Player's entitlement irritates me when I want to set a classic western-medieval atmosphere, and a player insists in playing a Monk, or if I have setup a campaign in a world where magic is rare and powerful, and players demand to have magic item crafting rules or wands shops. I believe it's important for a campaign to have a flavor that distinguishes it from other campaigns, and I believe it is the DM's duty to choose the flavor (unless gaming in "kitchen sink mode", which is a valid option), so once I have set the flavors & themes, players should accept them. If their current pet character idea doesn't match at all, they should simply shelf it for next campaign.
But changing character mid-game in general is not a big deal for me. Does it disrupt the story? Then it disrupts the story, and I will do my job of adapting the story. Nowadays we have an example of a fantasy series (Games of Thrones) where the story is constantly disrupted by important characters dying unexpectedly, and still a lot of people like it.