It’s a “the way MSFS works” thing, which in fact models real life; and, yesterday, I just covered why this issue is happening here…
https://forums.flightsimulator.com/t/mooney-m20r-basic-information/277840/1223?u=flyingscool5650
One thing to note in the Asobo KAP-140, which is what the Carenado is using, there is an option to independently set the barometric pressure for the AP for use in the flight levels since the B Key sets it to Indicated altitude, and changing the Altimeter barometric pressure to pressure altitude does not change the Autopilot Barometric altitude. I forget what the button combinations are and I’m at work, but it’s in there.