The change takes place immediately. The value is stored in the bank, which is either the internal EEPROM (if no BankStick connected), or the external EEPROM (the BankStick). It will be restored after power-on from the default bank, and on bank changes.
After construction I found that the merger is already on, so that was cool. The big problem seems to be
that system FE commands (active sensing) prevent proper merger operation. I built your filter, modified it to ignore system commands, and all is well in the world.