Answer: Yes, it changed at the start of season two of TNG, and no, there was no in-universe explanation.
The original sash (or baldric, or Ha'quj) was a prop from the original series, according to Star Trek: The Next Generation Companion (page 20):
The sash he would originally wear on the new series was the original Trek Klingon prop, explained as an heirloom.
The character of Worf was a late addition to TNG, so it's likely that the costume department had to come up with something distinctive fairly quickly and fairly cheaply. As far as I know, the "heirloom" explanation doesn't ever get mentioned on-screen.
Between the end of the first season and the start of the second season, Worf (and Geordi) switched to operations division, and Worf became official permanent security chief. As far as I know, it was never mentioned on-screen, but the new Ha'quj was probably used by Worf to mark this promotion.
Out-of-universe, the costume designer wanted to change some elements for the second season (and by this time Worf was a well-established character, who was definitely continuing on through the second season). The painted-gold burlap original was replaced with one made of bicycle chains (as explained in a Season 2 DVD special feature).
Also somewhat out-of-universe, because Worf changed divisions, the colour of his uniform changed, and a gold Ha'quj on a gold shirt would not have worked well, so some change had to be made. (In much the same way, Data wore the 'wrong' colour uniform because a grey shirt on a grey android wouldn't look good).
Apparently, the Writers' Guide for the second season suggested that the new version was also a weapon, but, like the heirloom idea, this was never used on-screen.
After the change at the start of TNG season two, the Ha'quj didn't change again, other than the family symbols changing when (in DS9) he joined the House of Martok.