I for one won't even begin to get involved with what you should set within your flight deck etc, that's your choice. What I can tell you is that when the circling conditions are equal to or better than that required for your aircraft cat, then the expectation is that you will get visual and as an approach controller I will NOT protect the missed approach and as a Tower controller, in the event of an overshoot, I would be instructing you to enter the circuit.
So if I were in your shoes, after establishing that conditions are suitable for circling then probably setting the circuit alt would be more appropriate coz that what ATC is going to tell you to do!
When circling conditions are below the criteria for your aircraft type as an approach controller I WILL protect the missed approach and as a Tower controller my only expectation in the event of an overshoot or not going visual at the DA or MAPt is that you will execute the missed approach procedure.
So if I were in your shoes, after establishing that conditions are NOT suitable for circling then setting the Missed Approach alt would be more appropriate.
When conditions are above circling for your aircraft cat but you don't want to circle you should advise ATC that that is your intention as early as possible so that in this case they can protect the missed approach. This is covered in someways by the blurb on some airport ATIS's that ask you to advise ATC if not able to circle.
So if I were in your shoes, after establishing that conditions are suitable for circling but you don't want to in the event that you overshoot, (and advising ATC of this!) then setting the Missed Approach alt would be more appropriate!
Now that you know what our expectations are, you should be able to decide what to select on your altitude preselect yourself. It will just depend on the wx conds at the time of your approach.
Clear as mud!!