I had the very same issue when I got my plane with a Cessna Navomatic 300A autopilot :-) Show me a flight instructor that actually understands those autopilots! Once I finally managed to understand its logic, I replaced it with a new model
In my setup, the DG was not slaved (and worn out) so it required adjusting using the mag compass. This had a very bad side effect.
In NAV mode, you set the heading bug + OBS to the desired radial, it will then intercept the radial, once intercepted turn onto the heading of the radial (i.e. where the heading bug is) and then establish a wind correction angle.
Now if you adjust the DG because of drift, the autopilot would sense a new setup, immediately turn onto the selected heading and slowly reestablish the wind correction angle. Imagine you got 35kt at 90° -- I had ATC ask me about my consumption of alcoholic beverages once...
I have come to the conclusion that there is no alternative to thoroughly understanding the internal logic of your autopilot. The user manuals are usually rather poor and rarely cover the complete logic.