Nothing Agnes does covers a set change. The little scene between Agnes and Tessie Tura helps to establish that time has passed and that this is the final day for Rose Louise and Her Hollywood Blondes at the strip house, but it doesn't really cover a set change. The published script lists it as being in the corridor but I don't recall there having been a major set change there in any of the productions I've seen.
Agnes's scene after "Together" can really be an audience-pleaser. I think Denny Dillon got exit applause both times I saw the Lansbury production.
Btw, the Agnes in the movie was the national-tour Agnes.