Tier2 Genwral: How to change job probably ?

[tarequk]

Hi All,

I am working in the uk under tier2 general visa.

My previous company terminated me and i stayed in the uk
Until i secured another job (my current job) where the company issues COS and I applied for visa(permit resistance) from inside the uk and it was issued without any problem.

Last month i visited my origin country and when i came back the officer told me that there is warning or note on my records (dont know where that exactly is). I told her that i changed my job and she told me that this is the reason for that note. because if i change my job, i have to go back to my origin country and apply from there! She made me sign a paper which allowed her to check my previous and current visa data is as i said and that i am telling the truth.
After confirming, she allowed my to enter the country!

Now, what is the correct way (if any) to change job without having to leave the country ?
If i change my job in the right way or stayed in my current job, will the warning and the delay in the airport remain when i travel?
Will this warning affect my chances getting citizenship?

Thanks