For me, sometimes the Autopilot does not switch on, either. I can reliably fix the issue by pressing the Disconnect Autopilot button on the control stick once, and then pressing the AP button again to switch it on.
FYI for the occasions where you are not close enough to the NAV path to activate NAV mode, you can scroll the heading bug to intercept the NAV path, start the autopilot in HDG mode and when heading mode is active press the NAV button. The NAV mode (i.e. GPS) will then show in the autopilot bar next to the green HDG in white, small letters, indicating that it will automatically arm once close enough to the NAV path.