To review...
When a disc is playing there are two display menus available. When a disc is stopped there is only one. As such, the only way to ensure via a macro that the display menu is exited out of cleanly each time is to first ensure the changer is not actively playing a disc per the sequence below.

Stop (Ensures there is only one display menu available prior to sending the display command.)
Display
Enter
Slot number (Numerical entry)
Enter
Display (Advances out of the only available display menu.)

That being said there are a couple situations which can throw things off. If there is a disc actively playing at a point where the player doesn't allow a stop command to be executed (user prohibited actions such as during the disc startup routine, FBI warning, previews sometimes) you'll end up with two display menus to advance out of at the end resulting in the display menu still being up on the screen after the macro completes. The other thing you need to make sure of is that the current disc loaded is not on a DVD menu. If so, nine times out of ten the macro will fail to load the particular disc slot in addition to the display menu remaining up on the screen at the end.

To avoid both of these potential problems make sure that the current disc loaded is always stopped prior to running a disc loading macro. The stop command at the beginning of the macro should not be relied upon is my point. It's there as a precautionary measure in the event you go to run a disc loading macro and the changer is playing a disc, but you don't realize it. Another thing to keep in mind, unlike the 985, the 995 always begins playback automatically of the last disc loaded when the changer powers up, even if the last disc loaded was stopped where it can resume playback prior to the changer being shut down. As such, 995 owners need to stop the changer from playing the last disc loaded automatically after the changer powers up, otherwise a given disc loading macro may fail depending upon the state of the DVD which is playing.

This is the reason I own 5 of the 985's. With the 985 I can simply stop the DVD where it can resume playback prior to moving on to another activity or shutting my system down. When powering my system back on each of my 5 changers remain stopped at their resume points. They don't begin playing the last disc loaded automatically as is the case with the 995. This ensures my disc loading macros work 100% of the time, and in the event I actually need to finish watching something I had stopped at a resume point I don't have to worry about the disc playing the second the changer powers up. I can resume playback of said disc on my time table, not Sony's.