Target cycling gives you a soft target, so that you can quickly cast situational or one-off actions on a different target then go back to what you were doing. If you'd like to convert your soft target to a hard target, you just need to press the Confirm button. If you have a spare mouse button, you could bind Confirm to a mouse button. By default it's bound to Num0/(empty).

/keybind
System
Confirm




Target Last Target actually does work on party members, but only considers your hard targets.