The question which should be asked is ‘what would you (self) do’, how did I get into this scenario, what were the briefed (pre-considered) alternatives.
Why wait for a warning.
Forum views would be opinion, some based on hard learnt experience, but framed by a (your) hypothetical scenario.
A more meaningful question is why was the approach commenced, continued, to the point of the situation described; what options were considered to ‘undo’ the decision to start the approach.
After that you can seek alternative views from the forum, with reasoned discussion, opportunities to learn - flexible response, not a rigid ‘land or go around’, all of the situations in between.
Also the real world doesn't stop with the decision to go around, as might simulator training.
Experience cannot be taught; it can only be gained. The crew in the incident below did not have the technology of a PWS, but they did have a ‘system’ for the conditions, and survived to pass on the experience.
https://www.dropbox.com/s/51zkz0lznd...unter.pdf?dl=0
There are few if any ‘answers’ in aviation, but there are many situations with opportunity to learn,
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Wind shear, like many other severe aviation weather hazards, is best avoided. Note the warning signs - clouds, temperature, and rain - if in any doubt during an approach, commence a go around immediately; if on the ground do not take off.”