Can you change stage from within a function call?

Main program, simiplified to the part giving trouble:-

. . . .
     DoLink(); //Call to function that is not intended to return due to state change
. . . .

Then the function DoLink:-

DoLink(){
     llMessageLinked(LINK_THIS,Command_Number,Command_Data,NULL_KEY);
     llOwnerSay("Diagnostic Leaving DoLink for state DoCom");
     state DoCom;
}

and then the state waiting for a reply from another script:-

state DoCom {
     state_entry() {
          llOwnerSay("Diagnostic Arrived in state DoCom");
     }

     link_message(integer sender, integer num, string data, key id) {
          ReturnMessage = data;
     }
}

Nearly all the time I get the message that it departs for DoCom but it never arrives although I'm pretty sure it did once.

Am I breaking some rule here?

It ignores the state change and just returns from the function call.

How it did work once or twice is strange.

Officially it isn't supported to change a state within a function.

There is a way to do it:

http://lslwiki.net/lslwiki/wakka.php?wakka=FunctionStateChangeHack

But don't.

You can use llMessageLinked