Off the visual it will be go around track, what you were doing at time of engagement of the mode.
Thats why I said it depends on the mod status of the a/c. It used to do that and yours very well still may. There are also 'upgrades' (RNP modification) to automatically go to NAV for RNP missed approaches, its annoying because it will still engage NAV even if you're aren't conducting an RNP approach.
So if the box still has the sequence you were doing before you were shortened off the star, it will go right back to where the box left off, hence the need for the PM to go heads down.
Your statement of the PM to pull HDG still holds true, but I personally have received the 'frown of death' for not having the MCDU setup appropriate for the Missed.