Always set lowest altitude constraint even if flying in VNAV on departure.
To avoid high rate of climb (possible TA)prior to altitude level off ,vnav may have to be exited and level constraint busted.
UK has had mode S 2 for a while and they will interrogate your MCP,your FMS cant be checked by ATC.
I was always taught to set first hard altitude but again i was taught in the UK.
The clearance we receive in this particular instance is "Cleared via CPT5X departure, caution step climb…" and part of your read back has to be "caution step climb" otherwise they reiterate - so I understand the clearance limit to be to A5000, as that's indicated on the plate and the clearance cautions us about the step climb. If it was a clearance to A3000 only, no step climb caution would be required. Maybe I've misinterpreted, but under the conditions of the clearance I would think setting the highest cleared altitude, as you state, is correct.
The step climb is 3000 feet, a first step before the final sid altitude of 5000ft.