Yeah that happens with every class change if you stay in the same category. blackbelt guy to karateka, fighter to knight, knight to dragoon, knight to viking, whatever. Heh make sure you dont change to magic knigts untill you get magic knight equipment (kiku + ashuras/possibly boomerang i dont rmember+ demon armour, i think you need the invincible for all but boomerang)because you will have no weapons or armor and it will waste capacity points.

I just beat FF3