How is this change of venue detrimental to all concerned?
From the standpoint of the Courts, if the cases are truly related, then you save time and resources. Both of which are limited. One judge handling both (or more) cases costs less than taking the cases under different courts. Those are government costs, however.
From the Standpoint of the plaintiffs (in this case), one set will be the controlling case - that is, one of the attorneys will have more of a voice than the other(s). They will set the main direction from which the case(s) will proceed. Costs of the suit will be shared amongst the parties, but not all parties will have an equal voice.
In the case we have here, the NRA will be paying for all 3 suits and all three sets of attorneys. That's 3 times the amount that this suit would have cost, otherwise - had the NRA filed a single valid suit.
Are we even sure that the motives of the NRA are the same as the NSSF? Will the NRA take these cases in the same direction that the NSSF would have taken their case? How much of a voice will the NSSF attorney have, against the voices of the other attorneys?
Now consider this.
The change of venue motion does call into question the decision of the NRA to file in D.C. in the first place. This question is valid, considering the other two cases were filed in their home districts?
Like it or not, this will taint the NRA (and hence their cases) in the eyes of the Judge. Shall we mention how much hay the Government will make of this? Fact is, the Government has already started.