OK, I am confused. If you are in heading (actually should be TRK mode) then you are using a selected mode. Therefore are you saying that you have pressed the HDG button in an attempt to arm the NAV mode and get it back onto the managed approach? If I was in TRK (or HDG) selected mode then I would be expecting to undertake a selected approach rather than managed. Unless its miles out and you then select "DIR" to the relevant point on the approach.
Confused....