I heard from one of our copilots who flew for NEOS that they had some interesting ways of flying the the 737. The one I remember vividly was them being strongly discouraged from using vertical speed mode. I doubt that dive and drive using LVL Change would be most airline's SOP for this kind of approach if VNAV would not capture. It does seem otherwise a pretty straightforward example of rushing a non precision approach and when startled by the order to go-around by the tower getting out of sequence and not setting the missed approach altitude. Our procedures would have had the PNF do this when commanded by the PF, who in the excitement of the approach going wrong does not seem to have noticed this omission. But the usual mantra about poorly flown missed approaches and lack of pitch power awareness also holds true as mentioned by various other posters.