To INSSUck,
 There should be a very small INS Switch panel (in my setup it's actually
attached to the twin CDU popup).  After engaging the auto pilot
with the Aileron and Elevator paddle switches and toggling Heading
mode ON (on the AP panel),  it is then necessary to toggle one of the
INS switches (small INS switch panel)  to the ON position. I apologize
if you are already aware of this,  but we can't make assumptions
here.
 My setup works great except it won't stay powered ON   :'(
Best regards,
Ken