I am one of those GPS pilots. I love em. The GPS won't know your heading it will only know your track over the ground. ie in a strong crosswind there will be a marked difference between track over the gound and your heading on the compass. The plus is with this you don't have to do wind corrections on the ground, as you can just follow your heading before making wind corrections on the GPS as it won't get it's heading(sorry ground track) upset by any winds. I normally look at the difference between the GPS gound track and the DI to see what the actual wind is.This difference in track and heading is exactly the same as the difference between airspeed and ground speed displayed by the GPS.
My previous aircraft had an EFIS with the GPS built in, this could do both as it had an external compass connected to it as well as a GPS head. Interestingly because it also had the airspeed built in it could work out winds aloft and display these on the screen as well.
Hope this helps.
Steve