Be that as it may, this is the way the game is designed. If you want to change it you have to make huge changes in the design of the client. Huge changes = spending huge money to hire the developers to do it for you (the developer that created this game are long gone to other jobs/employers).
They will not spend that money for something that has no money return and is not absolutely essential. Trust me, leaving the client running to change servers is WAY down on the bottom of their 'nice to have' list.
Look, I have a dozen accounts here - one of them that has been around since Open Beta. 4 of them have an average of 4 characters on them. I often run 2-3 clients whenever I play. If I want to change characters and it is on another union server, I exit the client and restart it.
All it takes is 45 minutes compared to 30 seconds, and yes I have to re-enter a password. I don't find the fact that I can't go back to the server selection screen essential. I have gotten by just fine since Open Beta with it as it is.
The problem sounds trivial. Just go back to the server selection screen without exiting, right? Trust me, it is not. I do have some idea what ti takes to do that and it is NOT a small task.
Short version:
It will not happen unless PW rewrites their client. Don't hold your breath for that to happen. It won't.