There is no way to 'train" for every situation or every kind of failure or malfunction.
There are pitfalls, potholes, and other obstacles to operating with modern avionics and devices and one should try to stay familiar with what they are.
The Heading Bug situation is caused by poor design, inadequate certification processes, and manifested by failing to use the system in a proper way.
One would think in this day and age that could be eliminated as we have so many examples of where it has played a role in mishaps down through the years.
How would we want the AFCS system to deal with "Heading" ?