Your 'steering' problem is not with the yoke, that is the way the autopilot is configured in most every (default) aircraft. Unless configured differently in the aircraft.cfg file>[autopilot] section, when you turn on the auto pilot it automatically applies pitch hold and wing leveler.

The quick fix when flying is to momentarily turn Hdg on, then off. You'll then have your 'steering' back.

If you add the following line to the aircraft.cfg file, [autopilot] section, the auto wing leveler will be disabled.

default_bank_mode=0

The yoke 'mode' should be explained in your Saitek user documents. Unless you have installed and configured the Saitek SST Programming software for the yoke you only have the one set of assignments you made in the sim regardless of the mode displayed. You can find support here. http://www.saitekusa.com/prod/yoke.htm

Dave