I’m curious to know how other’s go about this.
How do you handle a situation where a Sales Order (Make Direct) has been released to the Production floor, and production has already begun the job, but then the customer contacts the Order Entry team to change the order, necessitating a stop in the current production work?
Manually change the job as required and charge the customer a huge fee 
This is a one-off management decision, and it’s a major pain with every company I’ve ever worked with. It will be a manual process all the way through.
If what has changed is related to things already done on the parts, can the existing parts be modified? Since this is a Make Direct order, you’d be better off adding operations to the job to modify them prior to doing additional work. If they can’t be modified, what do you want your costing to look like? You can scrap them off the job, modify the operations, and start over (with or without creating a new Demand Link).
Since it’s going to be a manual process, your options are pretty wide open. On the Production side, the major thing to look out for is try HARD not to mess up the costing.
Ok so it sounds like there is no way to notify production that there has been a change on the order that would essentially tell them to stop working on it?
There is no automated way. Typically, “someone” has to go onto the shop floor, find the affected jobs, physically quarantine the parts and pick up the traveler.