Hmmm..
When established on the localizer from radar vectors, ATC cannot clear you for approach unless he has confirmed your position to be within safe distance. Meaning; Once you are cleared approach the clearance also gives you permission to descend to the approach's initial altitude and when reaching to maintain that altitude until established on the GP.
WF I assume this is CPH you are talking about as this is pretty common here. I personally don't know why they don't clear you for approach, but I assume there is a reason within the legal term of "cleared approach" Maybe that the misssed apprach sector is occupied by other traffic ? Anyway, what it means when said descend to 2500 and continue with the glide, means exacly that you are cleared down to 2500 feet and when intercepting the GP, follow it down to minima and then execute a missed if no other clearances are given; Usually there are
