For the most in the game, screen transitions while stealthed maintain stealth, but in Heritage Hill's tower, where it gives you the ultra-convenient option of skipping the midsection of the tower via a dialogue box when trying to leave the screen, any option chosen will deposit you on the selected floor without stealth activated, even if you attempt to transition while stealthed. I think this might have something to do with dialogue boxes breaking stealth?
Being that I snuck through the middle floor, when going back down I was rekt by a huge group of undead because my character was pulled from stealth against my will.
Thanks for reading!