It is in fact Lufthansa company policy to start the readback with the callsign, and all pilots at LH are trained that way.
One reason is indeed - as sabenaboy mentioned - to give the PF time to set the new HDG/Alt. etc. in the FCU, and then do the readback from the FMA (or rather check the new setting on the FMA), thus making sure that the PF indeed made the correct settings.
Regards,
DBate