Indeed, it seems to have a strange behaviour for me too. Tested it at CYTZ, RWY 07, and LFRB, rwy 25L. The selected heading seems to interfere with the nav mode when the autopilot is expected to intercept the loc. Not tested on VORs and on other default aircraft though. The glide interception seems to be quite ok, except for some oscillation on short final.
X-plane 11.01r1
Windows 8.1
GTX970