I am working on website https://roadmaster.com.co/en_SA When I reach checkout page, I have option to Collect your order in store ? Yes / NO - "This comes from Wyoming Pickup at Store extension"
I want to display a message in a popup and based on reply "OK / Cancel" want to take some action. like getting back to the cart or selecting no and proceed further.
You can make your own ui component reacting on shipping method choosing, but it is quite complex task.
Shortcut is to rewrite in custom theme or in module (using requirejs) file from checkout module: '/view/frontend/web/js/view/shipping.js'. This one is used to display shipping form and custom behavior can be added here.