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I think there are a number of subtleties to the question and the answer will depend a bit on country, airspace, and possibly controller's view of how they manage the airspace.
In principle you can fly the vertical and profile of an instrument approach under VFR. The conversation in any part of Europe other than the UK is probably fairly simple as you will clearly not be IFR (having not arrived on an IFR clearance). I have had comment from some UK controllers that while flying the lateral and vertical profile of an approach may be legal they would not authorise this in Class D unless the flight was conducted under an IFR clearance (on the other hand I have had from the CAA SRG a response of 'why wouldn't you, we do it frequently').
In the UK it is a bit more complex if you are in an aircraft that is definitely not certified for IFR (as compared to simply not being FM immune) in that the controller can not know if you are VFR or IFR in Class G unless you specifically tell them. Hence it would be easy to have controller and pilot not share the same view of the flight rules being used (not good).
So I think the answer is (Aircraft not certified for IFR, pilot with IR rating)
1 - The airspace, country rules, ATC practice allows for aircraft to be cleared VFR via the lateral and vertical profile of an approach - Legal
2 - Something causes the clearance to be given as an IFR clearance (outside UK Class G) - illegal
3 - VMC, UK, Class G - legal (I can't think of any rule that prevents one from choosing to be IFR in VMC during the day - even in a non-IFR certified machine)
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