CDI must be set to FMS.
If you are too far off the magenta line, AP will not automatically track. Your DTK must be within two dots lateral deviation before FMS starts tracking the active leg. Arm NAV (GPS appears in white on the scoreboard), use HDG mode or fly manually to intercept the magenta line at a 30 degree angle. Once within two dots, FMS will switch to NAV and start tracking the route.