It is critical for a few reasons.
1. A normal all engines running go-around is rarely practiced. Sim time is more often devoted to engine out stuff and an engine out go-around is in many ways easier because your performance is degraded and things happen more slowly.
2. It is a busy phase of flight that tends to have a lot of things happening at once. Flying the aeroplane, reconfiguring, spitting out your SOPs, communicating on the radio etc.
3. Missed approach procedures with a low level off altitude can have the aircraft racing through its flap speeds pretty quick and older types with old fashioned automation offer little if any protection against over speeds. Newer types with more automation can create their own problems if you are not fully up to speed with how the automation works in a go-around (see point 1.)
4. They happen at the end of a flight when crews may be tired. The fuel state may be such that decisions need to be made about what to do next.
I don't mean to imply that every go-around is a shambles, my point is more that they have a high concentration of "threats" that need to be managed in a short space of time.