How does one get the LEDs to stay in their PWM routine until the switch is pressed again, without using Interrupts? When the swicth is pushed it goes to the appropriate PWM routine but after the PWM cycle, the LED goes off"

Unless you are able to write a program with an "active real-time" loop that executes continuous PWM (I do recall posting an example of such code dimming multiple LED's continuously sometime ago), the only option you have is chosing a PIC with multiple hardware PWM.