I'm sorry you are having these problems. I took the 737-200 out for a flight yesterday. I only wanted to do a flight using the CWS, no VOR tracking (although I was follow a VOR radial manually and not using VOR LOC) and both pitch and bank worked fine. I did use ALT HOLD to maintain my chosen cruising altitude (FL320).

My main problems with the CWS are as follows:

1) When banking, it will reduce to 5 degrees, before returning and holding my chosen bank angle (i.e. I select 30 degrees, it reduces to 5 degrees, then returns to and holds 30 degrees). It does NOT do this every time though. Sometimes, it will reduce by only 5-10 degrees before returning to the bank angle I selected (i.e. I select 30 degrees, it returns to 20/25 degress, then it returns to and holds 30 degrees).

2) The pitch works fine except when I try to break the 737 free from ALTITUDE HOLD. I have learnt that if I gently push the joystick forward, it will break free from ALTITUDE HOLD without doing a sudden nose dive. In other words, I carefully break it free from the ALTITUDE HOLD.

Just now, I did a test turning only the AIL switch ON, and it had no affect on the pitch. All changes in pitch were like the ELEV switch was off. So it behaved just like it should, because ELEV was off. :-/

So for me, the experience with the CWS is always good. I do not know why yours would differ to mine.