I agree with Spitoon.
If you are giving a heading - FLY it! IF it is crap heading then say so - and we can change our plans. Don't forget we have no actual wind info for yr level - just the 2 min average for the runway which is often miles away (and 4000 ft away!)
As for "cleared approach"...? If you are on a heading to intercept the localiser then you are NOT cleared for the approach. SIMPLE AS THAT. With respect to your Capt he is taking the rules and bending them beyond belief. After all - you wouldn't descend would you?!!? So why change your heading??
WF is right - if you change your track and alter the track mileage you might find yourself closer to the proceeding/following aircraft.
Guess who will be given the go-around........