What changes when you modify gyro/accelerometer/magnetometer range?
There's very different ways of building a MEMS accelerometer, but the MPU-6050 uses a proof mass method:

Imagine a plate capacitor, with one plate held into place using springs (~):

    ~~~~~~|~~~~~~~
          |   |
- --------|   |------ +
          |   |
    ~~~~~~|~~~~~~~


as you can imagine, an acceleration in left or right direction shifts the spring-hung plate and thus changes the capacity of that capacitor.

You can have one of such mechanism per axis, and build a 3-axis accelerometer.

The adjustability in sensitivity can be achieved through different ways, for example:


Adjusting the sensing range of the capacitance detector. Capacitance is usually measured by observing the frequency of an oscillator built using the capacitor. If one is to change e.g. the reactive component in that oscillator, then that changes the frequency, and higher frequencies are better to measure low capacitances, but make it hard to measure large ones accurately. You can even make the the springs part of the oscillating system: applying a voltage between plates of a capacitor very much applies an attracting or repelling force! 
actually adjust the springs: in some MEMS accelerometers, the mass is actually not standing still, but in a mechanical oscillation, caused by the springs being excited by Piezo crystal components, excited with an external frequency. As you might remember, "ideal" spring forces are proportional to elongation, and thus you can extract spring "pre-tension" through external acceleration from the oscillatory properties.
simply have a different system for each sensitivity range, if that's easier than adjusting the physics of your one system.


So, be careful about


  Obviously the mechanical and physical structure of the sensor can't change


since this is a micromechanical system.