Until ASOBO fixes this, I recommend to install the G1000 mod and see this link to github for several other autopilot models.
One of the fixes seems should be relevant in this case:
Autopilot fixes!
This version fixes what was perhaps the single most loathed behavior of the stock MSFS G1000: its tendency to flip an unwanted U-turn back to the previous waypoint when activating an approach. By careful application of our patented Unsuckotron™ we have managed to fix that. You should no longer find yourself doing a Crazy Ivan when you activate an approach. We also fixed a bug in which reversed the NOSE UP/DN buttons worked in FLC mode; they’ll now behave as a sensible person would expect.
There’s also a G3000 version and