Because you might be asked to go around in the example at Stockholm above at say 3000 ft. Why would you descend below the 1500ft missed approach altitude? There is no need to, you would just ensure 1500ft was set and disengage the app mode. Job done.
In a climb when ATC tell you to climb 350 and your at 330 do you go through 350 and then descend back to 350?? Would make no sense would it. ATC might have words to say as well.