This is a problem mostly with moving subjects (if upon which you are attempting an HDR you're nuts) - but if you haven't locked down the focus point on your subject (i.e., let the camera work in auto-area select), or if your subject is fairly small and there's some contrasty background, and you're handholding, small movements of your hands or of the subject could throw focus off. For absolute best results, it's better to tripod-mount and then go full manual after focusing but before you launch your HDR exposure series.
In practice, with the above qualifications, it's not that much of a problem.
No, i'm not shooting moving targets, just landscapes and always on a tripod. I was just wondering if it was possible one of the shots could change focus during the string. I will have to try to set it to manual just to see how it works out.