SMA ON IFR FLT PLAN CHASTISED FOR MISSED APCH. APCH CTLR UNAWARE OF MAP.

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I WAS OUT OF SANTA MONICA ON AN IFR TWR ENRTE CLRNC TO DO APCHS AT VNY AND BUR; AN ILS AT VNY; AND NDB AT BUR PER REMARKS IN MY FLT PLAN. AS I BEGAN THE ILS AT VAN NUYS; BURBANK APCH CTL SAID 'MAINTAIN VFR TILL ESTABLISHED ON LOC; CLRED APCH;' AND IMMEDIATELY SWITCHED ME TO TWR (VNY) BEFORE I HAD A CHANCE TO REQUEST THE MISSED APCH. THUS; I CONTINUED THE APCH TELLING VNY TWR THAT WE INTENDED TO DO A MISSED APCH. WHEN WE EXECUTED THE MISSED APCH AND VNY TWR; AT 1500 FT; CLRED US FOR FREQ CHANGE; WE CONTACTED BUR APCH CTL AGAIN. THE CTLR WAS UPSET BECAUSE HE DIDN'T HAVE US AS IFR TFC IN MARGINAL WX APCHING THE FLOOR OF HIS ARSA. HE GAVE US VECTORS AWAY FROM THE ARSA UNTIL HE SORTED US OUT AND WE COMPLETED OUR NDB AT BUR. THE CONFUSION ON MY PART CAME BECAUSE I HAD NEVER REQUESTED CANCELLATION OF IFR AND I PRESUMED I WAS STILL LEGAL FOR THE MISSED APCH. A CFI WAS WITH ME AT THE TIME AND HE SEEMED SURPRISED THAT WE WERE NOT EXPECTED BY BUR APCH CTL AFTER THE MISSED APCH. IN REVIEWING THE SITUATION I SUPPOSE THE PROPER PROC WOULD BE TO HAVE CLRED THE MISSED APCH PROC WITH BUR BEFORE SWITCHING TO VNY TWR.