It would be foolhardy to even leave the MSA in IMC on one engine in a piston twin, most of the time you will have buckleys of making the missed approach altitude, and if you commenced the approach - you'd want to be pretty sure you were going to get in!
So what else would you do? Circle at MSA until making sure you had no engines left then using the SE options? Bugger off to somewhere else praying that whatever caused the first to fail wasn't about to happen to the other?