Understanding Autopilot in MSFS 2024

Might be a silly question, but how is heading hold meant to work?
I set the desired heading using the hdg knob, turn the plane to within a degree or two of the heading I’ve set, enable heading hold and enable autopilot master. I see the AP and HDG indicators at the top of the MFD, the plane will typically bank violently to the left and spiral towards the ground unless I stop it.
Not sure if I’m doing something wrong or whether this is a bug.
I’ve tried this on the cesena and G36, amongst others.