...what the others have said already. In general, you almost always end up having to make some small tweaks unless the wheels, rims, and cassette are identical. If nothing else, you usually need to adjust the rear derailleur to get it to properly index, because it won't sit in the same position unless the hubs are really close.
But there's no reason you can't have two identical stets of wheels. Racers do this wheel switching all the time and seem to come out of it OK.