Yeah if you feel that is the best path but I seriously dont think they will hold it against you for changing gyms...And if they do were they really your friends?
I'm sure coach will have a bit of a bitch about it if I go to train with the Gracie club but it is fairly late on a Wednesday night (the night my club has a grappling coach) so I could just say I'm in Uni until after his session starts.
I think what I may do is box on Mondays and Fridays and do BJJ on wednesdays then if I can fit in another session at my club in the week I will. I go to a couple of afternoon sessions at the moment which are ideal for students but again we are a fairly new club so we get loads of new starters, thing is we end up going over the basics every session. Some of the guys have been there over a year and are sick of learning how to do breakfalls and how to shrimp or shoot etc.