So shortly once again. There are 2 enemies engaged with me and i defend with my hero. Then i change the defender to ally, then the ally defends against second enemy. Is this legal?

How are you changing the 1st attack's defender to the ally?

Well i just do so. I don't use any other cards or effects. I think this isn't allowed but i still want to know just in case.

I think your preference for brevity is to the detriment of us actually understanding your exact problem. Since I'm not clear on exactly what you're asking, I'll just go over the stated situation in general:

You are engaged with two enemies. You choose one of them to resolve its attack first. You choose either a hero or an ally to defend this attack and exhaust them to declare them as the defender. Resolve the shadow effect, determine damage and deal it to the defender, you are now done with the first attack. Now you must do the same for the second attack. So again you choose a hero or ally to defend. Since declaring a character as a defender requires exhausting them (with odd exceptions like hero Beorn or Light the Beacons), this must be a different character to the one who defended the first attack unless you've somehow re-readied them afterwards (with e.g. Unexpected Courage, Behind Strong Walls).

That moment when you realize that you have been playing this game wrong for over 2 years...well anyways thanks for telling me that and sorry that i was unclear. I just didn't know how to ask this question clear enough.