Got all working correctly this morning with the A/P. I was using the PMS650. I was on a heading greater than 90 degrees from the couse I entered (using the Direct button). The plane turned to the new course, intercepted, and tracked as expected. Make sure all three Avionics levers on the left panel are on, the A/P switch is up (on center, lower console) and press the NAV button (HDG is off). Also, that the CDI says GPS. You have to search around to find that setting. Altitude hold and V/S worked as well using my Bravo A/P buttons and knob.
Yes, it takes a bit of button pushing in various spots, but it does, indeed, work (for me, anyway).