I'm encountering this issue when attempting to fly a STAR approach which has been selected in the MSFS flight planner (i.e. Departure > SID > Enroute > STAR > Destination auto-populated by the sim).
The aircraft (tested with a few different types) has navigation hold mode engaged with NAV/GPS set to GPS. The autopilot correctly tracks the SID and enroute phases but as per the topic above, tracks directly to the destination upon reaching the last waypoint in the STAR, rather than transitioning to the selected approach. The magenta line on the nav map turns into a dashed line.
The only solution that I've found so far is to manually direct-to the first approach waypoint using something like the PMS50 GTN 750.
I'm triggering the autopilot event IDs from within a WASM gauge in case that makes any difference.