Are when it comes to and with regard to always interchangeable? Is there any difference at all?
Both can be used to introduce a new subject of discussion; however, my feeling is that there is a subtle difference in acceptable contexts - "with regard to" is less appropriate when the subject has not already been directly questioned. For example,
When it comes to technology, I have no idea what I'm doing
would be fine, in the context of discussing, say, a new phone but the corresponding
With regard to technology [...]
would be inappropriate unless the question of the speaker's technological ability had already been raised but not yet addressed.
Both would be appropriate, in a context of say a board meeting, where "Technology" was an item on the agenda.