Follow the advice in the national AIP for the area you lose comms in. This is usually repeated in flight deck manuals such as Jepps. Most areas will have general ICAO procedures to be followed, but some airfields or pieces of airspace, such as Heathrow, will have specific instructions which differ somewhat.
If you feel the safest course is to continue to original destination and the procedures allow you to do it, then why wouldn't you ? At least your flight is predictable and following procedures which everyone else is expecting you to. Making it up on the hoof will simply cause chaos for everyone.
Yes, you may be intercepted at some point, but if the fighter pilot wants you to do something other than standard procedure, they'll give you the appropriate signals. Otherwise you'll probably just get an escort from area to area to ensure that all is well and it's simply a technical problem on the flight deck.
I guess Bicontatto comes from a culture where folowing the published procedure is frowned upon.
HD, would you be happy with a non comm aircraft turning back and making his own approach path to LHR through a busy TMA in IMC ? The specific RT failure procedures for LHR are only published for INBOUND aircraft, not departures. Therefore departures would be expected to comply with the ENR AIP procedures. In VMC, that might enable you to fly back to LHR and land there. In IMC, then after a period of time and restrictions, you follow flight plan route and levels to DESTINATION. If you do anything else, then no one has a clue what you will be doing and where you will be going. It might even be construed as having terrorist implications and cause the use of force to be implemented.