Would be more practical and easy to understand maybe, if scales + scalekey setting would also affect an instrument without any phrase. So just like the instrument had a “fake c-4” phrase. AFAIK the scale settings currentlywon’t do anything without a note in the phrase.
Scale/key is a realtime trigger option, just like monophonic/glide : they both apply while you are recording notes but not when entering notes manually.
You’re right that the behavior is different when a phrase is present. Then it becomes a realtime option, always, because it’s possible then to apply the scale and key to previously recorded notes (otherwise, the selected key/scale would not necessarily depict the “truth”).
IMO this is a good compromise, but yeah, not necessarily intuitive.