If you have been cleared for a specific instrument approach, you should comply with the step down altitudes associated with the approach unless otherwise authorized by ATC.
Crews arriving to ORD have been warned/violated for failing to do so. (In most cases the crews intercepted the glideslope and visually descended below the intermediate step downs before the FAF). Because they were not cleared for the visual they dont have much ground to stand on.
Remember, step downs may not just be fore obstacle avoidance. They might also be to avoid other protected airspace for airport underlying the approach. (A good example is the ILS 22L at EWR. The 2500' restriction over GIMEE is for traffic at 1500' departing from TEB.)