Let's say I'm shooting from a tripod to an exact spot, I set a custom white balance with a gray card and then I switch lens.
Should I redo the custom white balance?
Different lenses have different transmission curves regarding to different wavelengths. This will be more visible with older lenses, which can have a significant yellow cast.
In macro/close-up photography, a lens of different color or size can affect the light that reaches the subject.
In most cases though, the differences are negligible. Different light sources, moving clouds and reflections from surrounding colored objects skew colors more than a lens could - so outside studio, the custom white balance is really precise only for the spot, angle and time it was metered.
So, if you do need very precise white balance in controlled lighting, you should re-calibrate. Otherwise, unless you use lenses of different eras, no need to worry too much.