But why would you change from QFE to QNH on a missed approach?
1) All civil holds (which missed approaches often end up in) are flown on QNH / Standard depending on whether above or below TA.
2) After a missed approach you'll often have briefed the plan that you may be going somewhere else, at MSA - hence QNH required
3) All missed approaches are required to be "terrain safe" (obviously). Approach plates show MSA, not MSH (as stated before) therefore datum required is QNH
DFC's post is quite correct when he points out the single biggest fail on Instrument Rating tests flown on QFE is failing to reset QNH on the missed approach - hence flying the approach QNH takes out that possibility.
Re (1 & 3) above it's worth remembering of course that, unlike the military, not all airfields with IAP's have radar. Therefore an RVA chart is not applicable from which a controller can put you on QFE and keep you 'terrain safe' according to his chart / video map. Terrain clearance is still the responsibility of the pilot fully in that scenario hence the use of QNH as the 'safe' datum