Is the game designed to keep you from switching characters? Are you supposed to be restricted to continuing with the one you have in order to stick with story etc? Strictly speaking about campaigns here of course.

You could switch between characters during a campaign, but experience does not carry over. Or you could play all three core scenarios as, say, Daisy and have a friend playing Wendy join you for the first scenario, solo the second and have another friend playing 0 XP Roland join you for the third one...

I guess the game is "designed" for you playing at a difficulty level you can manage with your deck, XP, skill at playing and luck.

Nope, feel free to switch. But each new Investigator added starts with 0 XP, so you're missing out on the chance to upgrade your deck.