I shall try this out ASAP, but simply put, an MCP annunciator is illuminated to show a mode has been selected and may be de-selected, so if you are flying level to the intercept and you arm APP, then APP becomes selected and may be de-selected until GS intercept, so only after intercept does it become impossible to de-select.
This rule should apply to all other modes, too. To clarify this in your mind, watch the MCP annunciations during a normal take-off and initial climb.
Out of interest, there are hazards lurking in the fact that the MCP can show different annunciations to those on the EADI. Beware.
If you know more than I, please feel free to shoot me down in flames!