None of them seems to do that.
What you get is that if you turn the altitude preselect knob, in ALT (altitude hold) mode, you just get ALT ARM appear.
That means it has departed the altitude hold mode and is now holding either VS=0 or the current pitch, both of which are awfully confusingly close to altitude hold if you aren’t on the ball…
But why doesn’t the autopilot initiate some sort of climb or descent?
Obviously in a piston aircraft one is likely to be power limited when it comes to climbing, but a standard rate could be selected e.g. +200fpm or -200fpm.
What is the thinking behind not doing that – even in turboprops?
I think it is very practical to have a window where you can dial in the cleared flight level/ altitude without starting an immediate level change if you don’t have to. Especially regarding the descent you will often hear an ATC clearance like " Descend when ready to … call me leaving " or " Descend at pilot’s discretion to …"
Then most autopilots have more than one climb/ descent mode e.g. LVL change or IAS hold or VS. So after arming a different altitude you still can select the way how to get there.
Both STEC55x and DFC90 don’t do that. AFAICS, when in ALT mode and one changes the altitude value on the preselector, the AP will still stay in ALT mode, maintaining the previous altitude, forever.
But if you change the QNH, the DFC90 will climb/descent 
The rest is very simple: upon reaching an altitude, the autopilot will go into ALT HLD mode and that mode implies that it would not leave that altitude. And the name “altitude preselect” implies that has no immediate effect. If the autopilot is still in a vertical mode and I you select another altitude, it will stay in vertical mode until it has reached the new altitude.
What is the thinking behind not doing that – even in turboprops?
As nobbi already pointed out, it can’t know how you want to climb or descend (constant vertical speed or constant horizontal speed). And also, it can’t know when you want to change altitude. Quite frequently (last time was yesterday…) I get told: “When ready, descend FLxxx (to cross YYYYY point at FLzzz)”. In these cases, with a mode S equipped aircraft, it is necessary to dial in the cleared level immediately, because the controller can see that and will know, that you comply with his instruction.
The KFC225 will also climb/descend if you change the QNH – because it knows only the gray code pressure altitude (i.e. the flight level) plus the setting of the altimeter subscale knob.
On the next flight I will need to verify whether when ALT ARM is annunciated it actually implements altitude hold. I am sure it is supposed to be that, but the KFC225 has had various bugs in that area, some of which were quietly fixed in 2003 under the cover of some innocuous fix. Also there is a hard to reproduce button sequence which removes the ARM state and that can obviously be seriously fatal.
Selecting a future altitude should not affect the current altitude hold mode. I flew an A36 down to Sun N Fun this last week with a KFC225 and it holds the current altitude after one selects a new altitude. Only when a vertical mode is chosen that commands a vertical climb or descent, does it leave the previous altitude for the new selected one. In many cases, one knows the next altitude and after leveling at the previous altitude, you set the next altitude into the window. Later when you pass a waypoint (on an approach) or are cleared to the next altitude, all one needs to do is crank in a relevant vertical speed along with any power changes.
