Indeed; most GA autopilots do peculiar tracking and ATC do wonder what you have been smoking...
Mine does a good intercept if you do as I wrote i.e. select NAV, while in HDG mode, with > 3 dot HSI deviation.
Much of the time, in some complicated procedure, one ends up flying in HDG mode (and using the "track ahead" line on the GPS ..... if you have one) because then it does
exactly what you want
