People at Evo-Web are saying you can't switch leagues apparently, only teams. Say you start off managing Swansea and then take a job with Bayern. Bayern gets shifted to the EPL while Swansea moves over to the Bundesliga. Kind of a realism killer for most although it wouldn't make any difference to me personally.
You could switch teams in a similar way in previous PES games, BTW. With the PC version and wilde's editor, you could edit the option file and switch team slots, replacing your old team with any other team in the game. Your new team would then show up in-game in the same league you had been playing in, while your old team moved to another league. Sounds like this is what Konami did: tweaked the option file programming to allow for team slot switching.