There's no setting in Word to control that...

The GoBack command (shift-F5 by default) will take the cursor immediately
back to the text, but not close the footnote pane.  You could record a macro
that inserts an endnote, types go back, and closes the pane, and use that
macro instead of the Insert Endnote command.

Page Layout view doesn't have a footnote pane, using that would eliminate a
step, although Normal view is recommended for speed with long documents.

I hope you are using a keyboard shortcut for Insert Endnote and not going
through the menus every time?

As someone who uses a lot of notes, I personally think that your plan of
typing nothing, not even a pointer to where you got the information, will
involve *much* more work than typing the citation as you go along.  I
generally type my one or two word reference for a work (often using
initials) and the page number, then use Find and Replace to properly format
most of the notes.

DM