What is the navigation source? If it is a GPS, the course is set by the GPS's active flight plan and you can't change it on the Dynon. If you put the GPS in OBS mode, you can change the course on the GPS itself.
If it is a NAV radio, get into the menu under the HSI and press the COURSE button. This is how you change the course for a VOR and LOC.
If your NAV source is an SL30, the SL30 won't allow you to change the course if there is an LOC frequency tuned.