You can do that, provided you can find someone who wants your Lates. There are folks out there who'll do this. You just fill in the paperwork and send it on to rosters.
What is frowned upon is changing to help fill a vacancy on the 'other' side of the link ie if you're late, then the other side is on earlies. If there's vacant jobs on the early turns, then so be it. You don't just go 'oh, i fancy that early instead of my late turn'.
This ensures that recruitment is always kept up, so that both halves of the link are complete and the depot runs full compliment. Also, it allows for folks to catch rest day turns, should they want to- there will always be people on annual leave, sick, light duties, off trains etc in every depot even at full staffing.
You can ask to be 'accommodated' in that you only work earlies and are in your own seperate 'link', but I think, you lose a bit of pay as you're not truly flexible.