How do you change ammo type (HE/AP)?
You don't. The Computer is your friend and does it for you. Of course, the algorithm does not work perfectly all the time and can lead to hilarious situations.
Once in WinSPMBT, my Leo2's were facing T-80's frontally. The AI decided that since at the range I was facing them, HEAT had better penetration than APFSDS as measured in RHA, so HEAT should be used, reactive armour and its effects be damned. Only after I had shot (uselessly)
all my HEAT ammunition over several turns did the AI agree to switch to APFSDS, and whaddya know, first shot penetrated.
Can you abandon an offensive? I had the opportunity to chase the enemy down, and it was kinda stupid and i wanna undo it now, any ideas?
Once you enter the deployment phase you can only regenerate the map, but cannot change the mission or abandon the battle unless you reload an earlier save.
The support you buy before a battle, do they stay or is it 1 battle only?
1 battle only. Only your "core" force stays and gathers experience, which is kinda the whole point of the campaign. Also, if you play a "long" WW2 campaign, the quality of the support reflects the general war situation of your chosen nation: randomly chosen German troops in 1945 are likely to be inferior to their 1941 counterparts.
Do note that you can expand your core force as the campaign progresses (to include some "fixed" support elements), though the enemy force will also scale up accordingly.