hmm, that's what i though too. but it seems the bonuses remain: i'm now at guilds civic though i still get the production bonuses form the slave markets (compared total hammer modifier and the production bonus buildings in a town, the 15% bonus was there). also my financial advisor still lists the income frome the slave markets... despite that they give still unhappiness.
so yeah, you can exploit that switching through all civics and building all civic specific buildings... it's actually what i do in my current game.