Agreed with Denti.
Heading Select poses a threat when operating at or near maximum levels for configuration, step climbs should always take this reduced capability thus into account.
In LNAV the aircraft protects itself, in HDG SEL the pilot is responsible for this protection.
This is the reason why some operators reduce the bank angle above a certain altitude in CRZ, to anticipate and prepare for an ATC instructed turn during CRZ.