Are you sure you are on the last route segment when you wind the Alt. away?
Yep. The missed approach altitude was, I think, 3000ft and we went to set it as we passed through about 2500ft from an MDA of ~540. As the ALT knob clicked through 2500 the aircraft went into VNAV ALT.
Stupid bloody thing. Fortunately the weather was great so we turned off the FDs and continued visually.