Is there a way to change the Pending (Pay Later) payment method?
I also found that workaround!  This is an ongoing pain point, see https://lab.civicrm.org/dev/financial/issues/37 for a related issue.

In short - until a few years ago, a Contribution record was just that - a contribution.  Now it's more of an "obligation to pay", and Payment records are where the actual money is recorded.

So "payment method" (and "check number") don't belong on contributions - they belong on payments.  Until this is fixed, your workaround is as good as it gets.  Fortunately, there's general agreement on this direction, and the financial subsystems are currently being rewritten to make future changes easier and more testable.