There are few places where a decent can be required during a missed approach.
I don’t have the plate at hand nor have been there recently but Le Bourget comes to mind. It says ( or used to ), climb to 900' then after x miles, turn right, then climb to 1200 feet etc...
However if you go missed at say 4 miles, then it means you must descend.
This is the published procedure so nothing to do with ATC requesting anything.
I also doubt that if you go missed at 1200’, you should or have the time to query your understanding of the published instructions.
I have seen ( but not had to execute ), similar potential descent requirements for missed approach ( usually required due to dense traffic in missed approach path ).
As this is unusual, this better be briefed properly.