Interestingly, if SQL Server has auto-created a stats object on a column, and you subsequently modify that column, you receive no such error. SQL Server silently drops the statistics object, and modifies the column. The auto-created stats object is *not* automatically recreated until a query is executed that needs the stats object. This difference in how auto-created stats and manually created stats are treated by the engine can make for some confusion.
Just one more thing to think about if you manually create statistics on tables. But at least the error message is clear.