First of all the online manual about the KAP-140 autopilot, provides you a link to download the official manual, for how to operate it.
The KAP-140 is coupled with the KI-525A HSI, but the GPS unit(s) does not provide steering commands directly to autopilot. In short, when the autopilot GPS hints you, before any turn, to set a new course, you have to set it manually, in the HSI. And then the autopilot will follow perfectly.
If you don't do so, the autopilot will see the deviation, and will follow a heading (usually 30 degrees left or right of the current course on HSI) to try to capture the leg, but since does not have the correct course dialed in, this will never happen.