Why is this okay? Sometimes you discover a new form of writing you just love doing (in my case this was flash fiction). At other times, a certain format is just not working for you no matter how hard you try so you focus your skills where you know you can achieve success. (Incidentally you can define what success here is too. It doesn't necessarily have to be publication. It can be getting to a point where you know you could be published, it could be achieving writing X number of stories in a month etc etc).
Naturally, your characters can change direction too. Sometimes this is literally so (see any quest story for that - a map will come into the story somewhere too!). At other times, it can be a change of opinion (with repercussions. There should always be repercussions, that's where the drama is).
Whatever the reason for the change of direction, and no matter what form it takes, there should be good reasons for it, reasons your readers will understand and accept. They don't necessarily have to agree with your characters and neither do you (!), but the reasons for the changes should be well thought out, logical etc etc.