There is no way you can change your plea at this point.

Besides, when you plead guilty you articulate what you did, which is the same as a confession. You can't now claim you didn't do it.

If you want to transfer probation, there are very strict rules and yes, you have to do what they tell you. Not only is there no legal basis to challenge them, but you obviously have no resources or knowledge to even try. In addition, the district or state where you want to transfer to has lots of rules and requires that you have a place to live, a job, and adequate resources, plus other things.