You can use a Scene in an Effect. I test scenes and device Direct commands in Action Effects all the time. Scenes are good because all the responder devices turn On and Off nearly simultaneously. You have to specify delay values if you define Effects with multiple scenes. Insteon will abort one scene in favor of the other if multiple scenes overlap.
I don’t think you can do thermostat specific commands with scenes. Insteon scenes (Groups) use Insteon Group commands and the Thermostat commands are Insteon Direct commands. The Thermostat may have function that responds to a Group On or Group Off. The commands that set specific Heat/Cool Set Points are Insteon Direct commands.