KAG,
There are two separate issues in your last post.
1. When established. The answer to that is the same no matter what aircraft or what electronic systems you have. As said earlier, you are established when the LOC is within 1/2 scale deflection and going to stay within those limits. i.e. don't call LOC established when the LOC reaches 1/2 scale if you might shoot out the other side more than 1/2 scale during the turn.
2. Separate issue - managing the aircraft systems. Slightly different from aircraft to aircraft as well as from approach to approach. Your SOPs must be checked for this.
However,
Common practice in my experience is that the missed approach altitude is set when the aircraft starts descending. Setting the missed approach altitude well before that point removes the safety net of the altitude deviation warning.
From your comments it appears that your policy is to arm the LOC only when cleared to establish and then when established arm APP. In everywhere except the UK, I have no problem with arming APP when cleared for the approach, the aqircraft will establish on the LOC and descend on the GS. In the UK use LOC to establish unless given the clearance "when established descend on the GS".
Having said that, be aware of the GS position at all times. Some systems have a tendency to pitch up (climb) to the GS if you arm APP when the aircraft is 1/2 scale or less below the GS - this combined with having the missed approach alt set could cause you to level bust with no warning!!!!!!!
You say you set the Missed approach ehading and alt? OK if that is your SOP, my experience is that the heading bug is set to the heading that will follow the LOC on capture and updated as required during the approach. This means that should the LOC fail you can hit HDG and follow the same track and every missed approach starts on the final approach track i.e. a missed approach is always (even if it very briefly) started on the final track. I expect that you will use HDG for this initially.
So if the final approach heading is 270 and the missed approach heading is 360 (eg "straight ahead to 1000ft then right turn heading 360") do you really want to start the missed approach with the HDG bug set 90 degrees from where you are going at that moment? With the FD commanding a turn at 200ft when in HDG?
Just a few personal observations!!
SO everything under 2 is depending on your SOPs while 1 applies in every case.