As far as I know, you can move anywhere in Canada with your PR status with no issue. The problems will begin when you're applying for a citizenship. Most of us have signed a form, stating we're intended to live and work in Province, that nominated us. So it's better to follow this until you've got a Passport.
I'm sure that under some circumstances it's OK to move to another Province - if you lost your job and unable to find it for a few months for example, but, generally speaking, it's better to not play with a fire.