Personally I don't arm APR (I select LOC only) until the LOC is at least alive. I can only speak for the models I've flown, but they all will capture a glideslope whether you're on course or not.
I've seen some pretty wild pitch maneuvers when the AP captures a "false" glideslope well off course. And yet I'll bet half the pilots I fly with arm APR as soon as they hear "cleared approach".
Yes, I've made it a two step operation and added the risk I'll forget to select APR. I'll take it as the lesser of evils.