In Australia (with a standard rental agreement in NSW) you can change the locks (though I think you need to ask the landlord for permission if it's not an emergency) and you have to provide a copy of new keys to your landlord within 7 days. Landlords aren't allowed to enter your home unless its an emergency or they are planning on selling the home and have given you ample warning (and you've agreed). I believe this is just one of those things that is significantly different between different countries.

All of that being said, I don't understand why changing the locks makes a difference. It's very easy to ask a locksmith to open the door for you, especially if your name is on the title (not to mention that most house locks are trivial to pick anyway). Whether or not the landlord has a key is mostly immaterial, what matters is whether it is legal for them to use it (because picking the lock would arguably have similar legality).