Approach From a Hold

Question for the controllers he

The KMIC VOR-A is a pretty vanilla approach. The FAF is the Gopher VOR (GEP)
about 5 miles north of the field. The missed procedure is to go back to GEP and
hold north, left turns -- depicted as a dotted race track on the plate. (The FAA
link seems to be broken for me, at least:
http://naco.faa.gov/d-tpp/0405/05158VGA.PDF)

I have been vectored into that hold (not entered from a miss) and then cleared
for the approach. At that point, I flew the inbound leg towards the VOR/FAF and
continued down the approach path to KMIC. Seemed logical to me and it certainly
seemed to be what Minneapolis Approach was expecting.

I have a CFII friend who thinks this was improper -- that since the hold was not
depicted on the approach plate (as part of the approach) that I should have
flown the full approach including the procedure turn. I guess his thought is
that I wasn't really receiving vectors since I was in the hold.

Who is right here? Me and Approach, or my friend?

TIA,
Mitty