A few questions for the original poster.
1) Are you trying to fly an ILS, a LNAV/VNAV or a LPV approach ?
2) If you do not couple the autopilot but just hand fly the flight director V bar do you have the same issue ?
3) Have you tried leaving it in HDG mode and see what happens ? Sounds crazy I know, but I occasionally fly a KFC 200 with G430 W equiped Cessna 340 and that is what you have to do if you want to fly a coupled approach off an RNAV star
