Hello Evert

Actually, your plane is flying on  heading 300, (see the white arrow), and the nose of the plane is pointing to magnetic heading 300.
But you have a front left 21 knots wind, which is drifting your plane to the right, on a 303 track. Your HSI value is showing your current track  (see TRK indication on left of the box) and not your heading. A/P heading mode is keeping a magnetic heading, not a track, so you have to adjust your heading selection to take the wind into account ;).
This is perfectly normal. The track is the resulting vector of the heading combined with the drift.