When they become noisy or the high's/upper mid range becomes dullish, that is they lose the luster inherrent in tubes.
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Some tubes, in some circuit applications last much longer than others. I am guessing, but don't these tubed CD players just use a tube stage for the output. In such a "cathode follower" circuit, tube characteristics are not critical, so, in preamps, they can outlast several sets of the high gain tubes. (At least that the way it worked back when everyone had tube equipment, and it was no big deal).