[Nils_Lindeberg]

The rules states that you can change your action at any time. By this I presume they mean that you don't have to go by the initial options you chose during movement. So in essence you move, and then you choose your action option limited by how much you moved and your engagement status.
Taking the Charge action during movement doesn't mean you have to attack someone for example.

This also means that there is really no use picking an option during movement, just do your move and chose your action when your turn comes around. This is what is meant by changing your option at any time. And if you change your action to an action with a higher adjDX that has already been counted, you will execute the action immediately when you decide to do that action instead of another. One example would be to wait until DX 10 to hit someone, but then decide that you rather hit an enemy that is on the ground, where you get a +4 prone bonus, and then you should have acted on DX 14. Instead you act immediately on DX 10, or the current DX count. And you also have the optional rule with delayed actions.

Defend and Dodge actions would be pretty crappy if you have the lowest adjDX because they would be of no use if they happened on your DX order, since you are the last to act. So here the exception is that Dodge and Defend happens when they are declared, but they can't be taken back once declared.
A good use would be to surround an opponent, have the person in front of the enemy defend, while the flanking person attacks. This works well, especially if you moved first, and you didn't know which way the enemy would turn. But after move you know, and one of you are in his front and in danger, so he defends.
It doesn't mean that you can interrupt someone else's action and declare a defend once they target you specifically with an attack. And it definitely doesn't mean you can interrupt an enemy doing their action, when they say they target you. IF you could interrupt and defend when they target you, then they could "change their action at any time" and decide to attack someone else, and then you decide not to defend after all, and then they decide to attack you now that you are not defending again, and then you defend since they are attacking you, ad nauseam.

The only practical solution will be that you can activate a Defend or Dodge at the beginning of the DX count, or maybe you want to wait a little to see if your higher DX allies kills your potential attacker so you don't have to defend. But as soon as that attacker will get his turn, it is too late for you to defend. So you might as well declare a Defend as soon as you know that you will need it and well before your enemy's turn.

Once you declare to defend you will be defending until the end of the turn and that is your action. Your enemy, that sees that you are defending before he had time to attack you, may chose to attack you or do anything else his MA permits. But no matter what he does, you are still defending, happy to have scared him off from attacking you.

I can't see any other way of doing it that is logical, consistent and practical.

But I am heavily biased and sympathizing with Halbarad. :-D