When I want to change my APN I send AT+CGDCONT command and the HiLo returns ERROR 3?
AT+CGDCONT returns ERROR 3 if the HiLo is still using the PDP context.
That means you try to change the APN of a PDP context while your are still using it. So please:
1/ Use another index of CGDCONT
2/ Close the connection on the old APN in order to change it to the new one.