So went to my list -> List settings -> clicked on a specific existing field and there was no option to change the type of the field..
Is it not supported in SPO?
Changing field types is supported, however not all fields can have their type changed. For instance on a task list, you can change the field type for Task Status but not Assigned To or Description. Assigned To is because it is a Person or Group field and Description because it is an Enhanced rich text multiple line of text field.
The reason for this is to prevent loss of data and/or because there is no common sense way of changing the content ie: when converting a Person field to a text field does the person making the change want to get the Display name, the user ID or one of the other ways of representing a user.