First I'd better point out that I'm an Area controller, not Approach or Tower, but I wonder about this... If the reason you went around is something that will affect other aircraft behind you as well (windshear, something on the runway that the controller hasn't seen, sure there must be others but I can't think right now) then it would seem professional to tell ATC so reasonable steps can be taken to stop it happening to others behind you and possibly overloading the controller with many problems at once. For any other reason I would suppose that you should be left to sort yourselves out and tell us when you're good and ready.
I was always taught that even with aircraft in emergency crews should not be bothered but given minimum instructions in order to allow them the time to do what they need to, something I still try to do to this day. There will be things ATC need to know, but mostly the aircrew will tell you when they can. As a supervisor as well though I also know the planning required for not just your possible emergency but all the other domino effect problems that might happen, several agencies will often be pestering us for information that only the pilot knows. Doesn't make it right to bother you though.
This all comes down to the eternal balance between who is in charge with pilots/ATC. As pilots you are, absolutely, totally in charge of what happens with the plane you are flying and your passengers. Unfortunately to ATC you are just one plane with others to sort out too. If your reticence to speak led to others having an incident then I would imagine you would not be keen on that, as the next day it could be you having the incident because another pilot did not speak up. As others have said, more understanding of each others jobs and more liaison in both directions will help us all to help each other.
John R81 I'm sorry that no-one took you up on the offer. Unfortunately I'm a fair way from EGKR and don't deal with Heli's so probably not best for me, but I hope that others do take you up on that and you get to ATC too. I'm going to refresh myself tonight on our visitors policy so that I can try to get some pilots in for a visit - please keep asking.
Cheers,
Northerner
"Keep smiling - it makes people wonder what you're up to..."