Opinion: Moving Party Change from Narshe to Figaro

I agree with Everything that spreading them out would be the most effective presentation (and is mirrored in Vector before the Thamasa expedition, albeit without party selection as an option there). Moving the selection to Figaro Castle is also a good way to get around the forced map load required in the event script after a character selection; it circumvents the complication "Hey, is Figaro in West or East Desert?" that would come up placing it anywhere else.

All that said, it's not really a problem if they hang out in the throne room. It IS Edgar's castle and he's working with the rebels against Vector; it makes sense that they'd be gathered and discussing their plans. Another good spot might be the library, since Figaro is known for its scholars and everybody's trying to suss out how Gestahl made his Magitek in that arc of the scenario, but you're might hit an NPC pinch there since it shares with the 'interiors' of the castle.

If you're going to spread them out, I'd say:
(Edgar) Throne Room
(Sabin) King's Bedroom OR Toolshop
(Locke) East Bedroom
(Terra) Library
(Celes) East Bedroom OR Library
(Cyan) Submerge Room OR Prison
(Gau) Entrance Stairs OR Throne Room [hopping up and down on the throne]

...That's everybody, right? Are you going to have Shadow leave the party when you enter Figaro Castle? Will you be putting Arvis or Banon in Figaro? ...You didn't add an early Mog recruit, right? If you did, I'd put him in the lookout tower [the coin tower].