As you've discovered, you can only select an individual frame when setting the event sprite. The Change Sprite commands don't let you do that. You will either need to have a new event page with the character facing the required way, or if you want to be able to change it via a move route, you will need a plugin. One that I know of is Galv's Move Route Extras.
Tried changing profile icon but...It just felt weird, you know? Who would even want to talk to me if I didn't have this fat yellow rodent thing....Or whatever it is as a mascot....No one, that's who! I am nothing without it. NOTHING!!..