The only time I don't capture the GS, is if I press APP when I'm above the GS. It's better to press APP while still below the GS.
As for the different headings for the ILS, P3Dv4 still seems to be using the data from FSX (which I think is from about 2004, not 2007 which is when FSX was released), and it is stagnant, unlike the real life, where magnetic north is moving, and even so, the MCP should track the ILS fine.