Interesting.
We were taught to go to standby, set the new squawk, and return to ON,
The logic was to avoid the possibility of going through an emergency squawk (unlikely) or flicking through other squawks.
Remember an Air Trafficker telling us, quite a long time ago, never go to SBY, they will lose the return and it may not come back immediately, which 'blinds' them, also, an inadvertent emergency squawk can be easily sorted by R/T within seconds.