I have an HSI (EHSI actually) and on that the autopilot (in NAV mode) follows the course pointer, using it as the "heading", and then it adjusts this "heading" to minimise the error shown on the deviation bar.
I suppose, as wigglyamp says, if you don't have an HSI then the autopilot must be using the heading bug as the "heading".
I don't know the KAP140 but on the KFC225 you get undocumented behaviour in that the NAV mode must not be selected if the deviation bar is deviated by less than about 3 divisions (just over 1/2 full scale). If you do select NAV with a smaller deviation, the autopilot just turns onto the course pointer setting immediately, without intercepting the track. It does gradually, slowly, converge onto the track. Usually this is not what you want
When I bought the plane, it took me ages to suss out what was happening. Honeywell denied it, of course
You have to get to know your autopilot