Hi Gaz,
It's more that you are on your own navigation, ie that you navigate to that point however you wish. As AlanM says you might do that in a non 'direct' manner, and we can't take a chance on that if we need to separate you against other traffic. That's when we lock you (and the other plane most of the time) on a heading so we know you won't deviate without request. It's worth remembering that the plane you're being separated from may also not be on the same frequency as you are.
We try (or some do anyway) to let you fly your own plane as much as possible, and I'd rather not take you miles off route, so when you can be own nav you will be, and if you are vectored it is likely to be fairly close to the route you would expect anyway.
Hope this helps.
You could always come and visit a centre sometime and see how we do it!
Cheers,
N
"Keep smiling, it makes people wonder what you're up to..."