Did you try to reset the key bindings to default?
This should get the autopilot keys set-up correctly.
No external binding related software should be used and run in the backgroud for testing.
For example you can set-up and download software for your quadrant here for X-plane, but MSFS does not require any software for the keys to work!
Without further information like if the bindings work in other planes or screenshots of your bindings or a video, it is difficult to help. Currently I am unaware of any other reports regarding such an issue, so until there is more detailed information available what exactly goes wrong, I would not classify this issue as a bug yet, since most users do not seem to have any issues and the known issues do not mention any known problems with the peripheral.