Now let's think about it for a moment.
My base airport's SID ends at FL70. Should I set 1013 before take-off then? Of course not.
Some people try to get their after take-off checklist done asap even though you should be clear of the departure zone.
If you do it at or around the TA you've got yourself covered.
What if you get a "Stop climb at 4000'" instruction?
Doesn't make sense. When PASSING TA in climb and when CLEARED an alt. when descending. All three together.