The ILS approach being not legally usable as an approach due to a missing local altimeter setting does not make it unusable to back up a visual approach [or VFR arrival].

I would 100% (and have) take center's altimeter setting and fly the track of an ILS or localizer rather than "whelp, nothing can be done..." This was VMC; you don't need a local altimeter setting to be safe using the radio navaids; you would need it to legally fly the approach as an ILS approach.