I'm playing "The Cave". In the start of the game I choose three players. Can I change them in the continuation of the game? And should I do it? Is it necessary?
You can't choose which characters you're playing as in the middle of a playthrough; it's designed so you can only play three characters' stories at a time, so you can get through the game without needing to. The only way to play as other characters is to select them the next time you start a new game.
There are some areas that can only be accessed by certain characters that you may not have, but there's no way to get to every area in a single playthrough, so don't worry about those areas if you see them.
You cannot change them during a single playthrough.
Though you could optimize your flow if you have a look at the order otf the caverns to come, so you don't have to go through all caverns the third time you play.
So take the Knight or Hillbilly for the third playthrough, if you don't care to see the end sequence for them.