The CRS selector will still have an effect after Loc capture as tracking the Loc is a function of both radio deviation signal and selected CRS error signal. To enable the aircraft to track the localiser with the radio beam centered in cross wind conditions the crosswind correction function needs to turn the aircraft into wind and then wash out the resultant course error. This integration function to wash out the course error typically takes place over a period of time which was around 100 seconds in the autoflight systems on the 737-300 and 747-200.
Once captured and on the beam centre if you change the selected course the resultant CRS error signal will predominate and the aircraft turn towards the selected course. The course error should wash out over time if within the design limits but the system is not designed for step course changes from the cockpit after Loc capture.