Chop jock is correct. Art of Flight - I think you are confusing yourself between the APs and the flight director (I know terminology is different from type to type).
On the AW139, the APs allow the attitude hold to do exectly that - hold the selected attitude unless you press the cyclic FTR button, overriding the clever system and converting the aircraft into a very expensive R22. The FD is the piece of kit which (subject to being within design parameters), will allow you to select altitude, heading and airspeed holds etc., and on more advanced models allow coupled transitions to and from the hover.