I could not get the flight director to set pitch. Also, I found nothing to control pitch like the 727's big My First Autopilot knob. Nothing?
The pitch is controlled by pushing\/pulling the yoke. Wherever you stop it, the A/P will hold it (or hold it close to where you let it go). This is much the same way that the banking is controlled by the A/P. That's CWS (CONTROL WHEEL STEERING).

You can read all about the A/P in the ‘737 Captain’ FLIGHT MANUAL Part II – Aircraft Systems (csx737_manual2.pdf) page 49. That might help you understand it better. ;)