This is an example of the "simulator" being different from the real plane. In the simulator the movement of the rudder is connected to the nose wheel. If you have rudder pedals like I have, or a twist stick controller, the result is the same - move the rudder the nose wheel moves too. That's just the way FSX is designed.

My rudder pedals (Logitech G940) are spring loaded to return to center as are most joy sticks. If you want to keep turning, you have to keep the turn input or the plane will go straight.

Lou