Autopilot does not ignore selected altitude when glideslope is captured

[Clorix1]

After the autopilot captures the glideslope during an ILS approach, I always set the missed approach altitude. When I do so, the autopilot does not continue to fly the glideslope, but instead begins climbing or descending to the newly-selected altitude. As far as I understand, the autopilot should ignore the preselected altitude and continue down the glideslope