Doodlebug,
Like everything, I use a mode depending on what I am trying to achieve. In my book, using VNAV for small stepped climbs in a TMA I don't find appropriate (as I would be setting off other peoples TCAS and unnecessarily working the engines). Using VNAV for longer climbs with little other traffic around is totally appropriate. Curious that your type drops VNAV when in HDG (ours doesn't, provided that we are within a certain distance of the original track).
The other bit that is probably biasing my reply, is from my local airport the same thing happens daily. We blast off (on a stepped climb SID), contact departure freq and the first thing that the controller usually says is 'maintain altitude' which is normally the first stop. Thus we have negated the rest of the step climb SID. Also, the first step is normally underneath other traffic, so if I see other traffic locally, then I will revert to V/S mode with 1000' ft to go, to prevent TCAS problems.
For me, not setting off TCAS is a workload thing. Every time it goes RA, I have to reach for a MOR form and fill it out (later, obviously). I'm too lazy, so if I can, I try and avoid the RA's.
Safe flying dude...