The builder must at this point build to the permission granted. Changes such as the above before completion mean your engineer won't be able to sign-off that the building was completed in accordance with that permission.
It is probably a little annoying that adding a roof light later on is considered exempt development, but while carrying out works requiring planning, what's built must match the plans. There may be an option to build it now and then seek retention to bring it all into compliance, but that would introduce risks.
You could request that the tunnel and support works for the velux all be added now. Then some time after your build is complete and signed-off you could add the roof light There will be an additional cost, but it should be less than doing it after the fact when the roof is finished and access more difficult.
Your engineer will need to ensure the roof structure is modified and strengthened to accommodate the 'very long' tunnel.