A diocesan priest reports to a Bishop of a diocese; a missionary priest usually reports to a Superior in his Order.
Whatever floats your boat, so to speak. Either route is an ADMIRABLE decision. Bear in mind, most “Order” priests take a vow of poverty; diocesan priests (normally) do not take such a vow.
The Pope will select a worthy priest from either an Order or a diocesan priest to become a Bishop; it sometimes depends on recommendations, sometimes on specifics of the diocese to be served…for example, he would not select a Polish-speaking priest to be Bishop of a Spanish-speaking diocese…maybe. An Order priest can retain his identity as a member of an Order even as a Bishop (Bishop of Boston is still a Fransiscan).
Yes, you can change from one Order to another, but only with permission from both Orders. In one case, we have a former Glenmary priest here who changed to “diocesan” status. It is normally not done, mostly because of differing training or orientation among the various Orders.
Hope this helps! Thank you for asking these questions.