I got the prestigious Marie Curie individual fellowship (postdoc). The proposal I wrote is good but I'm not sure if I want to stick to it 100%. What is the expectation for such fellowships in this regard?
As stated in the comments, it depends of the funding institution (and of the (researchers of the) institution which received you, if distinct from the former), but in my experience, nobody is checking that a research proposal is followed to the letter (at any level), and even less so at the post doctoral level.
The writing of the research proposal itself is an exercise to show that you are able to propose your own research topics: if you were awarded a post doctoral fellowship, you passed the test. Your next step is to publish on you own or at least without your PhD advisor, so that you show independence: it does not really matter if you follow your research proposal (albeit if you wrote it well, that should be the easiest way!) or not, and you should definitely take advantage of any opportunities that you find on your way: you are in the business of doing research, not of implementing research programs!
US-based research administrator here. What you are referring to is called "change in scope". This applies to any type of research agreement. When you want to change the scope, it can invalidate your agreement. In all cases, fellowship or funded grant or contract, you need to go back to the terms of your agreement and see what is required in the case of a change in scope. Often it requires prior approval from the sponsor.
In US Federal grants, this case is written into all of the terms of agreement, and is often tied to budget items as well. E.g., you may be able to rebudget your funds to buy an unexpected piece of equipment, but does it change the scope? If you had a machine and it failed and you need to replace it, that is different than you suddenly deciding to buy equipment to follow a new line of research that you hadn't proposed. The approval in this case isn't so much for the rebudget as it is for the change in scope.
While I cannot comment on exactly what your agreement says, I can say unequivocally that the only answer to your question is to examine the contract. Even in cases where sponsors routinely give out the same award, technically every fellowship, grant, or contract is unique. They may refer you back to common terms, but your institution's policies may also dictate additional rules that you must follow. At my institution, I would be looking to see if you are actually working on your PI's science instead and then would need to discuss whether or not that is ok. The NIH fellowships are very particular about such things, and the NSF fellowships are more silent. This type of analysis isn't always written into an agreement, but it is a basic principle of allocation methodology in research administration. Find your local research administrator for help--they should be trained to do this work on your behalf. If you do not know who that is, check in at your department's staff and ask them. They should be responsible for helping you understand what is allowable, allocable, and reasonable.
As for someone checking in on you -- you have to report back in your progress reports. What I always say to my PIs when they ask questions like this -- Will you be embarrassed to report this in your progress report without having checked in first?