The main point of APPR mode is to disable PSA capture (or ALTS mode).
If flying ILS app - APPR need to be armed to capture GS. If for example you are cleared to capture LOC only then select LOC as a source and push NAV. When cleared to descent on GS, only then push APPR
If flying RNAV app - APPR mode disables PSA capture (like MDA) and changes course sensitivity from 1 NM full scale to 0.3 NM. It seems to me that FSI doesn't have common SOP regarding activation of APPR mode during RNAV approach. At least I was taught in different ways at two different learning centers. So refer to your company's SOPs.
Certainly if you have circling approach then leave VPATH mode (don't arm APPR) otherwise you will not level-off at MDA and you will have to handle unpleasant distraction at very low altitude.
In our company we arm APPR some 5-10 NM before FAF and fly RNAV approach pretty much like ILS. Providing it is normal straight-in approach with constant descent angle.
On our airplane it is prohibited to use VOR as a NAV source for any approaches, instead you fly RNAV approach (source FMS) and VOR is only monitored by PM. I guess it is common Pro-Line philosophy.
If height is used instead of altitude (UMMM, Russia) then we fly any RNAV approach "manually" - in FMS and VS mode, monitoring VOR or ADF. Feeling is pretty much like on C172.