This is Collins-specific and maybe type specific. In any approach with a vertical guidance (ILS, LPV, Baro VNAV) once the vertical guidance is captured, the FD/AP goes into VGP on the FMA. Where the altitude is set is no longer a constraint, so it goes to missed approach altitude, except in one case. Collins FMS database has visual approaches for every, or nearly every, runway at airports in the database. In that one case, it's a LNAV/VNAV mode and the FD/AP will respect any altitude selection. Put 500' in and at 500', it levels off and you lose the vertical VMC path to 50' over the threshold. It's a visual, not instrument approach, just giving guidance. In a visual, you have to set RWY to have the path to the threshold.