My Ap works just fine..at least the LNAV and VNAV. Just made a flight LEZL-LFLL and smooth as silk...but for the HDG switch. Once radar contact started vectoring for approach, I switched from LNAV to HDG, but nothing happened at all. HDG lock button lights up, but despite moving the heading knob, the plane did nothing, so full manual approach and no ILS landing...Am I doing something wrong??? I need my plane respond to the headings!

Thanks!