Yes a 295 on a 9.5" rim would look odd in comparison. Although 255/40 is meaty on an 8.5" wheel as well. It depends on what tire you run, but some will not even bead up on a wheel that is too narrow (depends on the sidewall construction, luckily recommended widths are listed on line).
Point is, you don't HAVE to up your rear size, there is no rule. It won't throw anything off if you had a narrower rear size in mind like a 275/35/18. I'd love to hear their argument for having to up the rear size.