Interesting. All the KAP, Stec, and Garmin autopilots I've flown with will happily descend below selected altitude in the particular case the OP is trying to achieve - flying a precision approach. They do have to have APP mode selected to capture the GS but once captured will descend from the selected altitude. Means you can then input the desired post-go around altitude in the altitude selector while flying the approach down to DA, then simply reselect ALT mode at an appropriate point. I've yet to fly one that attempts to do it in NAV mode though, I'm assuming the autopilot is actually certified for GS capture?