Recently I was flying a PA28 with a KAP 140 autopilot, OBI (not HSI) and DG.
During the cruise I had the NAV1 source selector set to GPS, with an active leg on the KLN89B GPS. I hand flew the a/c to intercept the GPS course by following the CDI on NAV1.
Next I selected HDG to engage the autopilot followed by ALT. I checked that the heading bug was aligned with the aircraft's current heading and as expected, the A/P maintained altitude and direction.
Finally, I selected NAV, hoping that the aircraft would track the GPS course. As the CDI was already centred, I wasn't expecting the aircraft to make any large corrections. HDG extinguished on the display and it was now showing NAV / ALT.
At about 5 miles from my turning point, I decided to move the heading bug to align with the course for the next leg and to my surprise, the A/P started to roll the aircraft as if it was following HDG. I checked the A/P display and it was still showing NAV, and the CDI was centred. I had a little play about with the heading bug and sure enough, the aircraft was following it.
For the remainder of the flight I kept the A/P in HDG mode because I was't sure if it was actually tracking properly in NAV.
I've since checked the KAP 140 manual and it says for A/C equipped with an OBI as opposed to HSI, you should immediately set the HDG bug to the OBS course after selecting NAV. Why does the heading bug affect the A/P in NAV mode when you are using a DG as opposed to an HSI???