Yes, you can switch agencies at any time, and nothing on your side needs undoing first. Your Soco account and your TikTok connection both stay exactly as they are.
Soco and your agency do different jobs
Soco's job is links: it holds its own catalog of TAP links (higher-commission product links that brands make available to approved partner agencies on TikTok Shop) and also accesses TAP links from partner agencies.
Soco doesn't manage your account or your content, so an agency that does isn't competing with it. A new agency is one more source of links, not a replacement for Soco.
Which agency's link should you use?
Between Soco's link and your new agency's link for a product, use whichever pays the higher commission. If your new agency offers a higher rate on a specific product, use that link: the point is to earn more per sale, wherever the link comes from.
Replace a Soco link with your new agency's link
Your TikTok Shop showcase holds one active affiliate link per product, so adding a new link replaces the old one. To switch a product to your new agency's link:
Get the affiliate link for the product from your new agency.
Add it to your TikTok Shop showcase for that product.
Once the new link is added, the old one is gone. Nothing needs removing by hand.
Do you need to unlink your TikTok to switch agencies?
You don't need to unlink your TikTok from Soco to switch agencies. Unlinking removes Soco's access to your TikTok Shop data, so it belongs at the end of using Soco entirely, not in an agency switch.
Next steps
Your next question is probably one of these: