Hi and thanks for purchasing!. With regards to the MU2, the NAV mode does not follow GPS routes. Refer to the Autopilot docs at the link below which explains the reasons and the (real life) workaround using GPSS.
In particular, see the paragraphs regarding: "HDG Button / GPSS Operation / NAV Button"
http://www.togasim.com/mu2docs/supplements/spz500.html
Other aircraft may have different AP behavior/modes, but i cannot speak to those, only the MU2s.