I think that the answer lies in the route section of the AIM:
(c) IFR conditions. If the failure occurs in IFR conditions, or if paragraph (b) of this section cannot be complied with, each pilot shall continue the flight according to the following:
(1) Route.
(i) By the route assigned in the last ATC clearance received;
(ii) If being radar vectored, by the direct route from the point of radio failure to the fix, route, or airway specified in the vector clearance;
(iii) In the absence of an assigned route, by the route that ATC has advised may be expected in a further clearance; or
(iv) In the absence of an assigned route or a route that ATC has advised may be expected in a further clearance, by the route filed in the flight plan.
Although you have been given a clearance limit (as defined by the AIM), you have also been given an expectation to "Continue" along your planned route at the EFC. Because of this, I would say that (iv) is applicable from the above quote.
Consider it a different way. If the VOR was NOT a point from which an approach originated, would you proceed direct to the nearest fix from which an approach began and commence that approach, or continue on towards your filed destination? If you did decide upon an approach, which airport do you go to? (Especially if there isn't one co-located with the VOR...)
Good discussion though!