I think (and another 737 pilot here with me) that as soon as you push the LNAV button to intercept the track the HDG Select button will extuingish and LNAV will illuminate. The FMA will immediately annunciate LNAV as well, even when still intercepting the track. You can no longer change heading by moving the bug at this point.
If I have a chance to check this in the near future I will.