Pilot reported an unstable approach and a go around.

Narrative

On approach to SHV Runway 32 we were being vectored to FORBE and told to cross at 2;000 ft. The FO (First Officer) and I discussed that since it was night and we were unfamiliar with the field; we would not accept a visual approach but instead would insist on vectors to final. While the heading of 230 would have us intercept the final at 90 degrees at approximately 5 miles from the runway; we both felt this would be comfortable as long as we had the field in sight and were appropriately configured. We also noted that the crossing altitude for FORBE was 1;820 ft and so we would have to either request lower or call the field in sight in order to cross FORBE at the GS intercept altitude. Approaching FORBE it became apparent that we were about a dot high on the GS; and since we both had the field (specifically the beacon) in sight; we called the field in sight so we could go lower. I switched Tower (I was the PM (Pilot Monitoring)) and the FO asked for flaps as he started to slow down the plane. He stated that we were high and selected VS so that we could capture the GS from above. I did not note the altitude he had put in the pre-select window since I was dialing in a new frequency and he did not verbalize the altitude.I checked in with Tower and we continued to configure the aircraft. We were both spending a good bit of time trying to locate the field since we had lost sight of it during the descent. Suddenly I heard a 'CAUTION OBSTACLE' and immediately began looking outside for the obstacle which I assumed to be a Tower (note: I had never heard this message before and there was a definite startle effect associated with this that momentarily detracted from my PM duties; driving us further behind). I had EFVS selected and did not see anything; but on the ND (Navigation Display) I could see a single orange block that was at about our 11 o'clock position. Since we needed to come right to intercept the localizer anyway; I directed the FO to turn right to ensure obstacle clearance and reduce the intercept angle to the localizer. This also clued me in to the fact that the FO had dialed in 600 ft into the MCP (Mode Control Panel) (field elevation is approx. 200 ft); which explained the EGPWS (Enhanced Ground Proximity Warning System) caution. I instructed the FO to dial in 1;000 ft and select FLCH so we could climb back up to a higher altitude and intercept the GS from below.At this point we were inside of the FAF heading about 290; and still had not intercepted the localizer. Additionally; with all the commotion in the cockpit we had lost sight of the field. Realizing that we would not be able to salvage this approach; the FO called for a go-around. We executed our GA; returned to the runway heading; and told the Tower that we were going around. On the downwind we briefed that we would not accept a vector inside of the FAF (which I'm glad we did because the Approach Controller again tried to vector us inside of FORBE); and we intercepted final at about 7 miles. With everything suit cased this time; I noted that although I could see the MALSR lighting; the runway lights were almost impossible to see. I asked Tower if they could turn up the lights - which they did - and we landed. It's worth noting that on the drive back to the hotel; another crew that landed before us also noted that the runway lights were very dim; and that they had difficulty seeing the airport.I believe the incident stemmed from a combination of factors. We should have asked for vectors to intercept final outside of FORBE so that we would have had more time on final to configure and manage the aircraft state. I wish the FO had verbalized that he had set 600 ft in the MCP; and I should have taken the time to see what he put in the MCP when he verbalized that he was selecting VS. As per the FM; crews should not select an altitude lower than 1;000 ft AFE when intercepting GS from above precisely for this reason. This could have prevented the EGPWS caution as wellas the subsequent MA.The FO and I debriefed this event extensively and we feel that we both could have done a much better job on this approach. Specific areas for improvement: better crew communication; better job as PM looking at MCP inputs; better compliance with FM procedures for intercepting GS from above; being more proactive regarding vectors to final and not accepting being driven to a short final to a field that we were both having difficulty seeing. Ultimately discontinuing the approach was the correct decision; but we should not have placed ourselves in a position where this was necessary.