Air carrier Captain reported executing a missed approach due to a GPWS terrain warning on approach to SFO. Flight returned for a normal landing.

Narrative

Weather was calling for winds 160 at 23 gusting 41 with rain. Landing runway 19L at SFO. FO was pilot flying that leg and I offered to take the landing if he felt uncomfortable with it. He wanted to try it and I said if it gets too sporty he could transfer the controls to me. We had an alternate of LAX which left us with about 15.8 on landing in SFO which gave us a landing weight about 3000 under structural. That along with the weather gave us an approach speed of 162 kts. On final there was an update of LLWS on approach. Around the final approach fix a couple things happened. 1. Tower told us that there was an object reported on 19L and we were offered to sidestep to 19R. 2. Wind shear started to pick up significantly. With those things happening the FO asked if I could take control. So I took control and requested final flaps. We continued and between 1000 and 500 feet we hit a large shear which drove our airspeed up to 188 causing a flap 30 load relief to 25 the FO called it out and we waited for the flaps to re-extend to 30. the flaps did not extend back to 30 around that time the tower called us telling us that 19L was available.With all these things going on we had missed the 500 foot gate. We decided to go around and at that time we received a too low terrain notification. Since we were already going around and were visual we continued the go around. We came back and had a normal landing. We looked it up afterward and there is a caution in the FM that says you may receive a too low terrain notification instead of a too low flaps notification and should drive you to perform a terrain escape maneuver. We had not done that. Instead we had done a standard go around. There was no apparent threat as we were visual and already performing the go around. However we determined that by the book we really should had performed a terrain escape maneuver