Harry, I believe that you mean to say the Autopilot was in TRK mode, not CRS mode. Is this correct?
Please note that TRK is not CRS. TRK is the actual path of the plane over the ground, while CRS is the requested course towards a way point or VOR. We don't show "CRS" mode, we show GPS or VOR if you are in that mode.
If this is true, then:
When the AP is in TRK mode, the HDG bug becomes TRK. Same bug, same value, just indicating that the AP is not holding a heading, but a ground track. If you are not familiar with the system this may make you believe the HDG bug is gone, but you will notice that TRK is in it's place in the knob menu. If you want to hold heading, not track, then choose HDG in the AP, not TRK.
This is what Jchang is requesting a change to, the ability to have BOTH a TRK and HDG bug at the same time.
What Bear is mentioning is the fact that you can also go into the PFD page and turn off any bugs you don't want, and this will make them disappear from the knob menu. So make sure you didn't turn the HDG bug off in that menu. However, the AP will turn the HDG bug on for you (and leave it on afterwards) if you engage the AP and it was off, so this is kind of rare if you have an AP installed.