You can generally change your mind and cancel the policy at any time in the insurance process. However, there might be penalties.
First, discuss your concerns with your agent. If you are comparison shopping and notice a better product for your needs, mention this. If you decide to cancel the policy, ask your agent about the process. Some insurers require written cancellations.
Depending on how far into the insurance contract you are at the time of cancellation and if you made advanced payments, you could be entitled to a refund for your unused portion, so ask your agent about this as well.