After my brash first post, I now see that there can be circumstances where you may have to descend during a go-around. I guess if you are unsure of your position then you need to get to a minimum safe altitude. If you are already above MSA then you could at least continue descent to the MSA, or if below it, initiate a climb to it. But I think it'd be wise to get on the radio fairly smart to explain the problem to ATC to allow them to either vector you or others around you. Following that old faithful "Aviate, navigate, communicate", in that situation it is necessary to communicate early in order to navigate safely!
In the cases where you are going around for a reason other than losing the LLZ, then I agree you should descend to the altitude given in the missed approach.
The ultimate answer may be "it depends."