Wondering - Do you fly the 737?
We are not allowed to make FMS approaches - we MUST be in HDG SEL before we intercept the final approach track, be it for an ILS or NPA. The reason being that our FMS position is a combination of IRS position, and radio position. The IRS position obviously drifts, and if we are not getting good radio updates, the FMS position may not be accurate - we would intercept a false localiser / FAT.
On a normal ILS, I usually keep my EHSI in map mode until established, and often see up to a mile deviation. This is why we, unfortunatly, can't fly FMS approaches. Our company Airbuses can, but for us we have to chase those needles!