if I’m changing multiple values, then I just so setState((){}) as the last line in the method

With multiple values, I still prefer doing this:

setState(() {
  // ...
  _value1 = "blah";
  _value2 = 123;
  _value3 = true;
});

Like Randall said, it feels more like a self-documenting piece of code that way ¯_(ツ)_/¯ An empty function inside setState also somehow looks like there's something missing.

Different strokes for different folks.