Like to know where you are doing your training.
Never , ever , set 0000 in the MCP.
You are setting yourself up for disaster.
On a Vnav approach set minima rounded up. When on final set missed approach alt.
The approach logic will allow you to wind the altitude away without a nuisance AltAquire.
On ILS set minima then the missed approach alt. when G/S engaged.
The trick on the B737 is to avoid unwanted AltAquire.
But never , ever 0000 in the MCP.