I fly the DA62. The 'Nanny' (in this case the ESP) will indeed try to roll wings level if you exceed 45 deg AOB. It's actually quite easy to over-ride by either applying more pressure, using the CWS, AP disconnect, deselecting ESP in MFD AUX Page 2 or pulling the AFCS CB. (AFM Supplement A34 refers).
I have never had the AP engage on release of CWS under any circumstance, including high AOB (the nature of our role is that we often operate beyond 45 deg AOB). Furthermore, the red buttons and AP should disconnect the AP, regardless of whether Nanny is interfering.
Whoever told you your experience is normal is wholly incorrect. You have described a significant AP malfunction and not a normal feature of the GFC700 which, I personally believe, is an exceptional light aircraft AP.