How about another scenario? You're in the climb, and just as ALT* engages, ATC gives a further climb and a direct.
Tell PM to first pull Alt, resume climb. Then deal with direct to. As someone said there is no aerial combat taking place. Even TCAS is dealt at normal manoeuvring forces. SOPs can deal with all normal activities. Unless you are avoiding a flock of birds all other activities SOP should be followed.