In some situations, shipping methods can be changed, while in others Amazon may require a new shipment plan.
Before Shipment Approval
If shipment preparation is still in progress:
You may be able to return to shipment settings.
Shipping options may still be editable.
After Shipment Finalization
Once labels have been generated or transportation has been confirmed:
Changes may be limited.
Amazon may require a new shipment to be created.
Best Practice
Review shipment details carefully before confirming transportation to avoid having to recreate shipments.
Summary
Whether a shipping method can be changed depends on how far along the shipment is in the creation process.