Folks,
If you are going to set it at all, surely the best thing is to set it to a sensible place where it will work for you if you are so unfortunate as to have to revert to a heading mode through either lack of aircraft capability or equipment failure.
In most cases, that will be for the missed approach track to be made good - ie the published track with a drift allowance (usually based on the surface wind, since you are most at risk during the early stages of going around).
stay Alive,