Check your flight manual supplement. If you don't have the -0102 version of the KLN94 I don't think you get roll steering, so you have to set the course properly or use the heading bug if you don't have an HSI to tell the autopilot what your general course is before it transitions to using left-right signals from the CDI.
You can also flight test it by programming in a flight plan with some significant changes in direction at waypoints, get established properly on one leg in NAV mode, and then don't touch anything. If the autopilot smoothly makes the direction changes as it reaches a waypoint, you've got roll steering. If it doesn't, or the GPS "alerts" you to change the CDI/HSI course, you probably don't have roll steering. I'm pretty sure that only the -0102 version of KLN94 puts out that signal.