The GPS modes are mainly velocity controllers. When you change the sticks you are effectively instantly commanding a different velocity. The response is to accelerate as quickly as possible. For bank angle, that means max angle. For throttle, that means full or zero.
Banging the yaw stick back and forth you can really notice the high motor speeds. Then leaving the yaw stick at max, the motor speeds taper off because they have reached the requested rotational speed.
When you switch modes, it is probably switching into or out of one of these velocity modes or there is a step in the requested value.