I believe that this refers to some of the processing that happens at the time that data is captured...
Anything in the reports that is calculated on the fly in Workspace should be fine (which should include breakdown by Week - I think....), but there are fields in the raw data, such as "weekly_visitor" (Flag to determine if the hit is a new weekly visitor)... this value won't shift to apply to your new weekly designations for instance. That data is set during processing, it won't be reprocessed to reflect the new calendar configuration.
If you have a Dev suite, you could test the change there first and see what sort of impacts occur to be sure that nothing major is going to happen.