Mr Albatross. I think the controller was correct. Have a good read of AIP (not company SOPs) and you will see, as I and Coral have stated, that you can continue below the last assigned level when conducting a VSA under own navigation.
--(by night) maintain an altitude not less than the route segment LSALT/MSA or appropriate step of DME/GPS arrival procedure or 500FT ABV the LL of CTA if this is higher, until within prescribed circling area and AD in sight, or within 5NM of AD (7NM for ILS equipped RWY) aligned with CL and established VASI/PAPI. (ref: AIP ENR 1.1 -17 / 9.5.5)
I ask you why you think the acft should be assigned further descent when it was already cleared for a VSA? AIP clearly states that you can descend in accordance with the DME steps until within 5NM/circling area. The DME step in this instance is actually lower than the radar lowest safe and hence would have been better for the said acft and its descent!
Also, there is a difference between being under radar control and radar vectors - radar control is monitoring acft on the screen, where as radar vectroing means ATC assumes navigation responsibility for the acft. Asking to TRACK to a 5 mile final is a pilot (or FMS) navigation function - it is not vectoring and hence they are still under "own navigation".
Cheers,
NFR.