Bill,
It can be down to poor technique or lack of understanding where the SID (for example) stipulates a turn that results in people asking you to 'continue present heading' when you are, in fact, in the turn.
Another reason is because radar is displaying an historic picture and not an up-to-date one, controllers sometimes try to issue the instruction before you commence the turn but miss it by a few seconds.
Either way, the best response from you would be something along the lines of "ABC123 has just commenced a turn, what heading would you like?".
If you can get yourself a visit to TC (or AC) at Swanwick, you might find it worthwhile - and I'm sure the controllers would be happy to hear from you what you consider good and bad technique
