Here's one. Transport Canada AIM RAC 9.3.
A clearance for an approach may not include any intermediate altitude restrictions. The pilot may receive this clearance while the aircraft is still a considerable distance from the airport, in either a radar or non-radar environment. In these cases, the pilot may descend, at his/her convenience, to whichever is the lowest of the following IFR altitudes applicable to the position of the aircraft:
(a) minimum en route altitude (MEA);
(b) published transition or feeder route altitude;
(c) minimum sector altitude (MSA) specified on the appropriate instrument approach chart;
(d) safe altitude 100 NM specified on the appropriate instrument approach chart;
or
(e) when in airspace for which the Minister has not specified a higher minimum, an altitude of at least 1 000 ft above the highest obstacle within a horizontal radius of 5 NM (1 500 ft or 2 000 ft within designated mountainous regions, depending on the zone) from the established position of the aircraft.
Doesn't get much clearer than that
That is what happens during own navigation from the en-route phase. That does not say you can leave your assigned altitude before established whilst being vectored to final.
The OP's question was specifically: can you leave assigned altitude whilst on a vector to final before becoming established. In the USA it is absolutely clear that you cannot. There is still no reference here to indicate it is legitimate to do so anywhere else.
Whilst being vectored ATC are responsible for terrain clearance. The changeover of responsibility back to pilot occurs not when you are cleared for the approach but when you hear the key words "resume own navigation". In the case of vectors to final (the case in point) you are not told to resume own nav but it stands to reason the point you resume responsibility for terrain avoidance is when established.
I am no longer surprised that the FAA have to spell this out every time a pilot is vectored to the ILS.