Could you help me with the AP?

I have no problems with MAN AP at all, as a matter of fact it works perfect.
My problem is with NAV LOC
The manual 2.2 says
"In the NAV LOC position, the autopilot will maneuver the airplane to capture and track, correcting for wind, a localizer course or a VOR radial as selected on the course arrow of the Captain's course indicator."
I have a VOR tuned in and a course set but I can never get the NAV LOC to turn/engage to fly the course.

Thank you for any help.