ok, now i see what happens: the mode is armed (1.22.30 p20 and p7 graph) but it will not engage unless we get out of go around phase (other references). kind of tricky, isn't it...
it is something to bear in mind in a missed approach with an at altitude constraint and a further higher altitude. In those cases we sould either select the constraint as the "go around altitude" or, alternatively, select the final altitude but then we must not forget to activate approach early during the go around. I think the first method is better.
mistake: even in approach phase CLB will not engage. The mthrfckr can be armed but won't activate until you transition to climb or cruise phase, so my conclusion is that go around altitude is the first constraint
at or
at or below.