Roland,

That's correct.  Once a mode is set (either related to pitch or roll) it cannot be deselected unless another mode of the same type is selected.

I.E. if you set LNAV, you cannot unselect LNAV, but if you then press HOLD for heading, LNAV will unselect.  The same is true related to coming off HOLD or SEL.

So, let's say you want to fly heading 180.  Dial up 180, right click SEL.  when you get to 180 (or another heading before then that you wish to hold) click HOLD.  SEL will deselect, and HOLD will light.  Similarly, if you're holding a heading and want to change, dial up the new heading and right click SEL and HOLD light will extinguish.  If you have your FMC programmed, and you're on HOLD, pressing LNAV will resume FMC control over roll axis and extinguish the HOLD light.

This is a little foreign compared to "Flight Sim Autopilots" because they are "dumbed down" to be more simplified, whereas the CS757 implementation is accurate to the actual aircraft.

I do suggest reading the manual section about the Autopilot systems.  It is important also to understand the difference between the EADI indicators for "VNAV PTH" and "VNAV SPD".  The FMC will select one or the other during climb/descent depending on its needs.

Hope it helps!