I try to clean my mechanical filtration weekly. Most of mine is either trays of fluff on "dump" filters or air-driven box filters, which just take a few moments to change.
I run the air high on my box filters (so that they have high flow/suck in more physical waste) and low on my sponges (so that they don't suck in as much physical waste). I squeeze out my sponges every few weeks.
I have one remaining FX-5 in the fishroom and I probably clean it every 2-3 weeks (rinse waste out of the sponges). It should be done more, but canisters are a PITA to clean (which is why I've stopped using them). One strategy to reduce the amount of mechanical waste that gets sucked into canisters is to use pre-filters. They can clog and reduce flow, especially if not frequently cleaned, though.
The stuff that gets collected in mechanical filtration (waste, uneaten food, mulm, dead fish parts, etc.) breaks down to produce ammonia (among other things). Removing frequently reduces the amount of waste that gets broken down into nitrate and the effectiveness of your water changes.
The type of filter shouldn't matter. Just because waste is rotting inside of a plastic cylinder and is out of sight doesn't mean that it's any less toxic than if it was coating the bottom of your tank (or your sump or whatever). In fact, canisters with bio media caked in physical waste will be much less effective in bio filtration (as flow and surface area are negatively impacted).
Clean the mechanical media in your filters frequently. You'll see a big difference in the health of your fish.
Matt