Say for example a proton is composed of Up, Up and Down (valance) quarks and suppose the Down quark absorbs a gluon, Down quark must change colour in order to conserve colour charges but so must the other 2 Up quarks? Unless at any given point in time the 3 valance quarks are always exchanging gluons to each other simultaneously otherwise the strong force between them would not work as proton right?
Yes, all the quarks & gluons in the proton are continuously exchanging gluons with their neighbouring quarks & gluons, and the total color charge must always add up to white, due to color confinement.
However, as the anim below (from Wikipedia, courtesy of manishearth) shows, the color changes of 2 valence quarks don't need to be simultaneous. Eg, a blue quark can emit a blue-antired gluon which changes that quark's color to red, so the color remains balanced at all times.
I should mention that color charge is actually more complicated than diagrams like the one above imply. Please see the Wikipedia article on gluons for details. Also see Why are there eight gluons and not nine? by James Bottomley and John Baez.