Happens quite regularly at places like Amsterdam. Your options would be to dial up the VOR into the RAD NAV page and then fly manually towards it correcting for wind in HDG mode or my preference is to go into Trk/fpa. Invariably you will only by tracking towards the VOR for a short time before another vector so having the remaining bits of the STAR is useful for track miles to go and covers you in case the controller changes their mind and gets you to fly the rest of the arrival. Just remember to go back into heading and sequence your flight plan or better still extend the runway centreline to tidy up the plan.