Once you're on VNAV you could also set the missed approach altitude (which you could also do once established on the final altitude while waiting for GS intercept). One reason not to to that could be maintaining uniform procedures over different approach types and/or better protection in case you decide for whatever reason to change from VNAV to VS or FLCH (e.g. in response to an "increase rate of descent" command) before being established at the FAF altitude.