I am also curious of this question. How ever I cant find a legal reference amongst the answers. I think the question is within "EASA land" tough... and therein it might by divided as EASA regulation and/or national regulations.
During training I learnt that once cleared for approach you can follow the altitude restrictions stated on the plate how ever if I recall it correctly every time this happened it was coupled to an arrival route. So this option everybody more or less agree on
How ever the question, under radar vectors could you apply this or not? And if yes where does it legally say so...
if looking though Eurocontrols "ICAO Phraseology Reference Guide / ALL Clear" it does imply that you may not descend below cleared altitude even tough you are cleared for approach.
So, if vectored "too high" for intercept from below ask for descend...
Have a look at page 17
http://www.skybrary.aero/bookshelf/books/115.pdf
Might this be a question to rise on the ATC forum as well?