When flying a coupled approach, how does one tell the AP to initiate a climb during go around? I recently flew an RNAV (LPV) approach under autopilot control. Everything went as I expected during the approach, and the AP leveled off at minimums. I had received alternate missed approach instructions from approach control, which I had dialed into the heading and altitude bugs while on final. I expected that I could disengage VNAV mode and the AP would revert being to flying the altitude bug, however this did not happen. Instead the vertical mode remained at "MINS:VS". I disconnected the AP and manually flew the missed at that point.

Did I set something up incorrectly? Does the EFIS not support flying a missed approach in this way?