If this was a new rule change your point would be valid. It's fair to consider that but you'd need to adjust all the previous data points to reflect those swaps as well.Why not just compare a larger market pool?
Since the first time one company replaced the next, it has always been the case that the performance of the Dow Jones Industrial Average cannot be replicated by an individual investor. While it may be a useful model, it is actively engineered to keep going higher.
The point being raised is that to "hold the exact same thing it does" actively costs money on an ongoing basis (even before transaction costs!) as you need to sell cheaper stocks to buy more expensive ones.
Surely this is (ignoring transaction costs) reflected in the index performance already. If you sell and buy at the time (and price) of the index you will match the performance. This is not unique to DJIA by the way.