Switches to HDG mode when losing VOR signal

[Randolf]

On a group flight we noticed that upon losing VOR signal, the autopilot switches to HDG mode and starts turning towards the heading bug, wherever that was pointing before. I would expect to switch to some wings level mode instead to stay on course. I also didn't find any "wings level" lateral mode, only NAV or HDG.
Is this the intended functionality?
On the piston version btw.

[Randolf]

And also forgot to say, that the airplane is just amanazing. I was expecting a lot after all the preview videos, but was still pleasantly surprised.
Also, on the current group flight, hearing only praise for the Duke from everyone