I'm genuinely not sure if you misread Shorty's post and don't realize that you can change your party members at any time, anywhere in a palace.
I don't know, I guess they could have made it clearer, but I read the tutorial pop-up about how you can change your party members on the stats menu, and just started changing party members whenever I felt like it without giving it any more thought. It just made sense to me that that's how it should work.
It's like the revamped battle UI - I didn't even realize that they'd changed it until someone pointed it out. Of course skills are mapped to square and attack is mapped to X. It just makes sense. Isn't that how it's always been? (No, it's not, it turns out.)