I'm using DPM to azure online backup and I want to change the redundancy from Geo to Local, but it's greyed out. Is there a way to change it?
I don't want to create a new fault just for that, then I have to re-upload everything from DPM to azure again.

It's not possible to change after the initial configuration. If you want to change the configuration you have to rebuild the Backup vault and register the servers. I had the same issue at a customer in the past.