I'm assuming you're asking about the US, in which case the answer is no. The AIM 4-3-1(e) says:
VFR aircraft practicing instrument approaches are not automatically authorized to execute the missed approach procedure. This authorization must be specifically requested by the pilot and approved by the controller. Separation will not be provided unless the missed approach has been approved by ATC.
If one asks for it. When I was working on my instrument rating, we would often request a practice IFR approach using one of the various methods (ILS, Localizer, VOR, GPS, PAR, etc.) with 'the option' - actually land, or fly the Missed approach. Then the instructor could mix it up so you wouldn't get in the mindset that every approach would be successful. You might be too off course, too high, too low too early, or he could say you were still in the clouds at the point where you had to decide to continue descending. Sometimes we'd be cleared for the Miss as shown on the approach plate, other times we'd be given an alternate route to fly, perhaps to make way for a plane that would have conflicted: landing on intersecting runway, or taking off and climbing towards us; sometimes we'd practice the same approach from the same end a few times and basically just fly a closed pattern vs doing the whole climb out and procedure turn or hold, sometimes we'd do the approach from one end, then fly out and do the approach from the other end (say like ILS from one end and GPS from the other). ATC at the smaller airports are generally friendly to work, and as long as you're flexible to accomodate planes that are actually landing, or departing, they have no problem working with you.
Terminology is important here. You asked whether if under VFR, you were "cleared" to execute a missed approach. There are two points worth mentioning:
1.) Under VFR you are not actually cleared under the IFR definition of this term. Your other wording was more correct, you are "approved" to execute the instrument procedure for practice under a different set of rules. To put it in different terms, under VFR you have no clearance limit because you have no clearance.
2.) When you are IFR you are not technically cleared for the missed approach procedure either in accordance with the standard definition of the term. (I will likely get some comments on this, but let me explain what I mean...) Your IFR clearance includes your route of flight and altitudes up to and including your clearance limit. Typically your intended point of landing is the termination of your flight, or your clearance limit.
The missed approach airspace will be protected for you under IFR, and you will have separation when and if you execute the procedure, but you are technically not cleared for anything beyond your clearance limit. That's why execution of a missed approach is an immediate mandatory radio call.
Think of the missed approach like an emergency procedure, because that is almost what it is. And it is why they generally end in holding pattern so that you and ATC can sort out further clearance to your alternate.
In training and practice things are a bit different, but the important thing is clear communication of intent and understanding what ATC expects, or has cleared you to do. (i.e. the "option" gives you wide latitude...)