This is one of those FSX (or earlier) design decisions that are still lingering around and it has frustrated me for years. I feel this is one of the “low hanging fruit” quality-of-life fixes that would be greatly welcomed.
The automatic swapping of radio frequencies at least depends on the user choosing the option in the ATC menu, so it’s easy to avoid to allow you to do it manually. The transponder code doesn’t - you just have to be quick enough to do it without responding to ATC, which feels just rude.
I really, really hope this is addressed with the forthcoming ATC updates, as it’s been an immersion killer for a long time. But no mention in the SU14 beta patch notes, so I guess not.
I usually fly VFR so only set my transponder to something other than 7000 when requesting ‘flight following’, i.e. already airborne. In real life, I presume you would read back the transponder code first, then set it up moments later. At which point, ATC would get back in touch to confirm they see you? It may differ by country, but generally speaking. I’m curious what ‘realistic’ would look like in this instance.