Both screens
Changing your mind, wherever you are.
Both the Coverage panel and the CoverMyMeds screen offer Select as replacement. What happens next depends on which screen you are on.
From the Coverage panel
While you are still choosing
The medication on your prescription is replaced and the panel checks coverage for the new choice. You stay where you are.
From the CoverMyMeds screen
After you have clicked send
The screen closes and you are returned to your prescription with the change applied. Send again when you are ready, and the benefit check runs against the new choice.
Choosing a pharmacy that is not in your list: the medication change is applied, and a message names the pharmacy to select on the prescription.

Why it takes you back
A benefit check is specific to the medication, quantity and pharmacy on the prescription. Changing any of those means the prescription has to be updated first, and the check run again, so the price you see belongs to what you are actually sending.
If the pharmacy is not in your list
CoverMyMeds prices against pharmacies in their network, and some of those will not be in your practice's pharmacy list. When that happens, the medication change is still applied to your prescription, and a message names the pharmacy you need to select on the prescription pad.
To use that pharmacy, add it to your practice list through the usual pharmacy search - nothing about that process has changed. See Search for a Pharmacy.
Once it is in the practice list it is available to everyone in the practice, and can be saved as a favorite - see Add a Pharmacy as a Favorite. Who can add a pharmacy varies by user; if you cannot, your system administrator can.
You never have to switch. These are options, not instructions. If what you wrote is what you want, send it.