I can shed some light on the purpose of why Planning Multicurrency apps behave like this:
You are now allowed to change these top level dimensions to something that doesn't store data. Therefore, trying to change to Label Only gives you that error message.
The reason for this is because Planning Multicurrency apps store the exchange rates (out of the box) at these top level members.
If I can come up with a workaround I'll let you know, but hopefully at least you understand the "why" behind this behavior.