Do you have the same issue if you follow the OP’s steps to reproduce it?
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I have the same issue with the exception that Autopilot master works and can change CRS using the Bravo unit.
Only the very simple default planes work out of the box with such hardware. Its common since decades to use Spad.Next and similar programs to configure your hardware. Many many 3rd party planes dont use the default commands, as they have custom coded systems.
Get Spad.Next and dont look back. Theres a reason these tools are so popular.
I agree I had nothing but problems trying to configure aircraft using the in sim settings. I run an alpha, bravo, Logitech rudders and switch panels and a flight sim gear 530. So trying to get it all configured within the sim just would not work.
Now I have Spad and haven’t looked back. Each plane is configured to what I want. If I fly the 737 have a setup for that. CRJ. That too, Cessna 172 yup everything is set up through Spad now. So much easier to manage. new aircraft? I can set it to an exsisting profile or create a new one. Having some issues? There are tonnes of online snippets to help you out.
Yes it sucks it’s a subscription service, but it’s worth it!
exactly. It also automatically switches the profile when you switch the plane. Its just so much better, and also the only way to get 3rd party planes working with basically every hardware out there.
Also thanks to online profiles and device snippets, i rarely have to config stuff my self, just search for a profile and there you go. 
I’m having a similar issue. I can turn the barro knob but no value changes. The speed targeting knob turns but no value changes. The heading knob terns but no value changes and after pressing autopilot none of the other buttons work on that panel. I can push buttons and I hear the click on the MFD panel below the throttle quadrant but it will not switch from ND, perf, system, misc, and map. I can’t change my barro knob or my altitude since none of the knobs work only knob that seems to work is the power management knob.
I have the HC alpha and bravo and am forced to fly the ATR with a mouse. Just awful!
Otherwise I fly every tubeliner and light jet happily with the MSFS control assignments. There should be no need for Spad or AAO — it’s a complete developer failure. For example, the CJ-4 which has been updated to work perfectly with the Alpha and Bravo. Developing aircraft that won’t work with the Sim’s controller scheme is shameful.
ATR72 is a great plane.
But I won’t fly it again until I can operate it with the HC alpha and bravo - too bad.
Sadly, even the CJ4 has some functions that dont work with the default MSFS keybindings and require a 3rd party program.
My mod might help to set this up:
Such as? for the CJ-4?
Emergency Light Arm, Standby Attitude Display, the PFD softkeys.
(There is most definitely a possibility that I just did not find the right keybindings since they are often labelled differntly.)
For sure, I don’t have any of the above assigned to the HC gear, but I am okay with using the mouse as long as heading, nav, v/s, etc. work with the Alpha and Bravo.
In that case, clear skies to you!
I hate having to use the mouse and I do it as rarely as possible. I have been known to completely avoid planes if I cant bind most of the keys, no matter how awesome they may be.
Do you have the same issue if you follow the OP’s steps to reproduce it?
Yes
HC Alpha here: light switches work with “toggle” only. No “on and off” or “set” for landing lights, taxi lights, nav, strobe or beacon. Silly. I had to set a separate Alpha profile just for the ATR.