Very few models of car say to never change the transmission fluid. Also, the recommended interval varies depending on your specific make or model, so the answer is yes, you should change it regularly, but you'll have to consult your vehicle manual or look up the model-specific recommendations online.
As a general rule of thumb, manual transmissions need fluid replacement every 30,000-60,000 miles, although it might be less under heavy use. Automatics are more varied in their recommendations, with ranges of 60,000 to 100,000 miles being more common. Typically, changing it more often does little to no harm.
Most cars have a dipstick to check for transmission fluid levels. Often, this should be done when the engine is warm and the transmission in park. Transmission fluid does not burn up over time, so low levels almost always indicate a leak.