Okay, so I just tested a few scenarios to make sure.
You do indeed have to have a V/S set to engage APPR.
You then have one of two choices:
Set the AP so that if you need to go around, disengaging APPR will then engage the missed Approach altitude.
Or, if you do want it to just disengage without any effect other than retaining manual control, once you’ve set your V/S (and/or ALT) and engaged APPR, you can then unclick Altitude and V/S. APPR will keep performing as it is, but if you disengage it prior to touchdown, it will simply hand manual control over without any other effects (i.e. the “old” way).