JK Rowling did do a televised conversation with Daniel Radcliffe where this matter came up in passing and Dan Radcliffe had this to say:
It changed after the second film. It's a different wand I've got now and, um, 'cause in Alfonso's words he said that he thought the other wand looked too smooth and like it was from Ikea.
The interview is on YouTube at the moment, but I can't guarantee this link will work for ever. (Go to about 47:00)
Alfonso, by the way, is Alfonso Cuarón, the director of the third film, who made a lot of visual changes on taking over the reins (Prisoner of Azkaban was the first and only Harry Potter film he directed). So it was a simple aesthetic decision from the director.