Garth,
Roll in an aircraft is simpler to deal with than pitch, so it needs less adjustments.
The reason heading mode doesn't work as well is because it relies on the compass module. As you can see, when you have GPS track, the track hold works better. The AP software really doesn't know if it is getting HDG or TRK, so this means it's not that the AP is tuned wrong, but that it is reacting to the change in heading from your compass.
The compass is 3D, so even if it is perfect when you are level, when the plane rolls a bit, distortion above or below it can cause a heading change. The AP sees this, and then drives the airplane. Since the heading change was not real, but just induced by roll, the AP constantly hunts around. You may find that it's better or worse at some magnetic headings, which would be a good indication that you have 3D compass errors. This would be the reason a lot of competing autopilots require GPS to operate, so they don't have to worry about magnetic heading errors at all.
One option you have is to play with your compass location. The other option you have is to buy a $70 GPS "puck" and just wire that up and fly TRK when you aren't using Naviator.