This happens because your Warehouse dimension is financially tracked.
If you want to change the warehouse on the purchase order you have to:
1 - remove the marking (in your purchase order lines--> Inventory --> Marking)
2 - Change the warehouse in your purchase order
3 - Approve or confirm your purchase order (so the sales order can see that stock)
4 - Change the warehouse in your sales order.
5 - Create the marking again in your sales order. (in you sales order lines --> Inventory --> Marking)
Its not the fastest way but since your warehouse dimension is financially tracked, its the only one.
Best Regards