I wish they had added an option to equip a full armor set in one step. I change my armor so frequently based on the situation at hand and only occasionally have a need to mix and match. I always wanted this in BotW and it would have been a really nice quality of life improvement in TotK.
A quick press of down is supposed to call the sages to you (as well as the horse) but in practice it feels pretty useless. Your idea of holding down to open a selection wheel would be great. The horse could be on there too for that matter.