When you first start the engines of the Saab, heading and VS are armed. This is a Saab thing. Those 2 modes are always armed, until the pilot arms a different mode.
If everything works, but you still can't engage the autopilot, then you are definitely doing something wrong. Either that, or you're engaging something other than the autopilot.
So before we continue to troubleshoot this, let's confirm the autopilot. Are you click and holding, for at least 2 seconds, the switch in the image below...