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I changed the title to reflect the intended user-visible behavior, which was always the real issue. The original title proposed a solution that would not work. The revised title gave an alternate solution that should not work. 
The discrepancy between clicking [Ok] and and pressing <Return> arises because pressing Enter in the query box leaks <KeyRelease-Return> to the text, which happens to trigger a status bar update. I regard this somewhat accidental side-effect to be a bug to be fixed. Changing the text and status bar are the responsibility of the event handler.
The line number query box should just return a positive int or None, without side-effect. So we should make sure that Query boxes do not leak key events and create a subclass to get a positive int. But such a replacement is somewhat independent of triggering <<set-line-and-column>>. 
A related issue is that goto does not clear selections. #39844. I may fix that and this with one PR.