Imagine the scenario, you are on your way into ACE from LGW, and have been cleared the STAR, to land on the northerly runway.
At 6000' you are excellent VMC, and see the runway so declare that you are visual and request a visual approach.
You then descend to circuit altitude, proceed from downwind to base to finals, and then go around.
What missed approach procedure should you fly? The one published on the plate for the ILS (even though you have not been cleared the ILS approach) or into the visual circuit?
You can not ask the man in the TWR as he is chatting to an Iberia pilot in Spanish and has been for a while, so you have to do what is expected.
What would be expected? What is the LEGAL thing to do?