Interesting to see so many varied responses, based - I guess - on each individual's personal experience.
I tend towards Heathrow Director's viewpoint but, for some reason, this topic has always been a bit of an issue in the UK. There are things that can go wrong in this area of ATC/flight operation and I feel that the UK procedures mitigate the associated risks better than some of the alternatives mentioned. One simple example is when you may choose to vector an aircraft through the LLZ at some point before you want it to establish - some of the procedures offered in this thread may make this a bit hit and miss!
FWIW, ICAO PANS-ATM says '8.9.4.1 An aircraft vectored to intercept a pilot-interpreted final approach aid shall be instructed to report when established on the final approach track. Clearance for the approach should be issued prior to when the aircraft reports established, unless circumstances preclude the issuance of the clearance at such time. Vectoring will normally terminate at the time the aircraft leaves the last assigned heading to intercept the final approach track.' Other ICAO docs, notably the Manual of Radiotelephony, offer a variety of responses that may be appropriate depending on the circumstances so it seems that there is no absolute correct answer to the original question.