Hmm, I think I might have caught the issue.
If you use the coupler dial on the ground to set it from HDG to some other state, it seems to activate the autopilot in the background without the switches being toggled.
The only thing I just did was not changing the coupler (leave it on HDG), then after takeoff (without issues) turn on AP and then switch the coupler to NAV and enable HDG switch.
This way, all was fine…
EDIT: Tried more things. So turning the coupler is basically the issue, it enables the AP without flipping the switches. On the ground you can see full aileron deflection (I just didn’t notice it before). Note that in this case the yoke does NOT reflect this - it’s perfectly centered:
If that happens, cycling the AP Master switch (via Joystick) seems to be the only way to disengage it.