As long as it doesn't state in your tenancy agreement that you can't change this then it should be fine. If the bills are to be in your name, it's completely up to you and the landlord / letting agency has no legal standpoint.
You're correct when you say it's more expensive, it's quite a bit more actually. Although some people find it easier to budget and to pay off debt by this method.
To go about and getting this changed, you'd need to know who supplies you. Were you with someone at the old property that you were with for quite a while? If so, I'd probably give them a call and ask if they can do a free meter exchange if you take them over to the new property.
Is it just the electricity on a pre-payment meter? If so, it's usually around £60. I know this is what Npower charges unless there's a reason you literally can't have one.