On a precision approach one would normally set the go around altitude at GS* (ie the aircraft is capturing the glideslope and will then ignore any altitude that is set in the FCU window). However when doing a visual approach or a non precision approach we normally set the GA alt once we are below it.
It gets a little bit disconcerting when you are descending with a horn blaring down your lughole and you ahven't got a bug to prompt you when to stop the descent. And with the Airbus especially ALT* can be the most annoying annunciation when you are trying your very best to descend at a reasonable rate.
Tacho