This happens with NDBs as well. The ADF needle just immediately resets to the resting position once you exceed the distance, like 50 nm or so. I’ve never had the privilege of flying an aircraft equipped with an ADF in real life, but from what I’ve read, it seems like it is a very “noisy” device that is subject to many sources of interference. It is also analog, like you stated of VORs, so it should not instantly drop out when exceeding the maximum range, whatever that may be.
It would be nice to see this simulated properly in the sim, but I can’t say I expected it to be.