GF:
In the US, TW514 smashed into a ridge doing just this. Now, the approach clearance will be, "Turn (heading), maintain xxxx until intercepting, cleared ILS" or "maintain xxxx until established on a segment of the approach, cleared for approach". MSAs are sometimes procedural, sometimes emergency only.
Attached is the chart used by the crew of TWA 514 on December 1, 1974.
Also, as you say, MSAs are not operational altitude in some countries. The U.S. is one of them. Also attached is a current RNAV approach in my area (KF70). The FAA discontinued sectorization of MSAs on RNAV charts. Note the altitude of the MSA and the profile altitudes of the procedure.