Autopilot behaves correctly. When each individual mode is turned on, the basic mode is also turned on - heading holding. In the case of BALT, it either holds the magnetic heading if the autopilot was previously disabled, or ATTH if it was selected before BALT, or selected heading with HSEL.
In heading hold mode, the magnetic heading is maintained if the roll during the switch on time was less than 5 degrees, otherwise the roll will remain.