I just gave this a try with the C-130J USAF and it tracked the GPS path perfectly.

1. I created the route in the Flight Planner
After takeoff, and at a reasonable altitude, I did the following
2. AP Power ON
3. Engage switch ON
4. Track switch ON
5. Mode Selector switch to GPS

When I first turned the AP on, I had it set to HDG (Heading), and the Heading Bug was set to my current heading.

If this was happening to you with a different C-130 model, let me know and I'll be happy to try it with that one as well.