I just learned myself, that the behavior described in the question is actually the regular intended one.
Solution to switch panels:
You can switch the panel by hitting ESC once, then you can bring the focus to another panel by clicking on it.
Once you have the focus on the new panel, panel.identify
will allow to select new data. Be careful to switch ESC twice, because then the whole identify loop will be escaped.
This works also in R-Studio.