Whilst it's recommended, you don't have to purchase a change of route excess at the station.
From National Rail Conditions of Travel:
13.2. If you make a journey by a route that is not valid you will be liable to pay an excess fare. The price for this will be the difference between the amount paid for the Ticket you hold and the lowest price Ticket available for immediate travel that would have entitled you to travel by that route.
From the rail industry's Internal Knowledge Base:
Change of Route
The Excess Fare to charge on-board where there was “opportunity to buy” before boarding the train
National Rail Conditions of Travel (Condition 13.2) permits customers to travel by a different route, from the one stated on the ticket or allowed by conditions of the National Routeing Guide, to make their journey on payment of an Excess fare. The Excess fare is calculated as follows:
Single tickets
The difference between the price already paid and price of the cheapest Single ticket, available for immediate travel, that allows the customer to travel on the route and Train Company of their choice
Return tickets - change of route in both directions
The difference between the price already paid and price of the cheapest Return ticket, available for immediate travel, that allows the customer to travel on the route and Train Company of their choice.
Return tickets - change of route in one direction only
Half the difference between the price already paid and price of the cheapest Return ticket, available for immediate travel that allows the customer to travel on the route and Train Company of their choice.
Provided you are still travelling by a permitted route you should not be liable for a penalty fare in these circumstances.