In every installation I have flown, once the ILS glideslope is captured, altitude preselect is over ridden. So it may as well be set to missed approach altitude.
But for every other type of approach, it makes sense to set it to the MDA or circling minima, as it will at least provide some protection if the auto pilot or flight director is in use, or you go more than 100 ft low while hand flying on raw data. A constant path descent to a runway should not become destabilised by this if the auto pilot is disengaged at the alert, which is typically between 100 ft and 300 ft before the altitude set. Most pilots flying a non precision approach to a runway would probably disconnect the automatics about then anyway. On the other hand, if flying a circling approach, most would probably elect to keep the autopilot engaged until late downwind. Once the circling altitude is captured, set missed approach, just in case visual contact is lost.
This is recommended by Flight Safety Foundation, which also recommends using RADALT as a back up for all instrument approaches. Even if RADALT is set 100 feet below DH or MDA, it does provide a final chance at an alert if somehow the crew have lost altitude awareness. Easy enough to do at unfamiliar airports above sea level.
Having said that, the manufacturer FCOM or company SOP rules, OK?