Explanation:

The problem is solved differently for different proteins, depending on their physicochemical properties.

The major danger of abrupt changes in urea (or any other denaturing agent you may use) is protein aggregation. As a general case, one expects protein globules to form spontaneously as soon as the denaturant is removed. The TRICK is that often a protein needs more time and a certain path to acquire the native fold, whereas misfolded, inactive species are produced rapidly in a variety of POSSIBLE folding paths. When you decrease urea stepwise you produce a kind of path for PROPER folding, giving the protein both time and the opportunity to go back to correct the fold. When you drop urea sharply AGGREGATES are formed quickly and, most tragedically, irreversibly.

Remark that this situation is not universal! Some proteins (among them rhodanese) are most susceptible to aggregation, for example, at 4M urea. The best WAY to renature a protein is to be found empirically.