You certainly remain on your IFR plan when you do a visual approach.
As i understand the ICAO ATM, a visual approach is when all or part of the instrument approach is flown with visual reference to the ground.
Having not been cleared for the instrument approach, you surely cannot complete the MAP in the event of a go-around. Speaking to a few pilot friends, they are of the opinion that you should not go around off a visual approach, unless you have either really messed it up, or there is an outside reason (runway incursion, etc), in which case the go-around will be STC initiaited and they will tell you what to do. IF you have messed the approach up, tell the tower and they will tell you what to do............
Seems simple enough to me