I've tried a flight from CYYZ to KMDT using VOR navigation.  YYZ was set in the NAV 1 position (GPS radio) and DKK for the first VOR along the way set in the NAV 2 radio.  Course was selected from YYZ to DUSOM and VOR1 showing active in the EFIS and course was selected properly.

 

After engaging the Autopilot, the plane would not keep on course.  After the course indicator moves either to the left or the right, the plane keeps heading in the direction it was going and doesn't correct for going off course.  Then I tried setting VOR2. DKK showed in the EFIS, course was set properly to intercept the VOR and again the plane would not correct course to head for the VOR.  VLOC was selected in the GPS panel and the AP was engaged,  so it should have tracked the radial from YYZ and the radial to DKK.  Turning off NAV in the AP and switching to HDG, the plane would follow the heading that is selected.

 

Any idea why it wouldn't pick up the VOR radials and track them?

Check you have the GPS/NAV switch set correctly. If you wanted a Nav1 intercept of a VOR then you need the Gps/Nav switch to be set Nav. On most FSX aircraft the autopilot will only follow the VOR1 radio, not the VOR2 which is often used to triangulate or confirm position rather than direct navigation, unless you use heading mode to follow the VOR2 needle.

 

Some high altitude VORs will not give a signal at lower altitudes. Some FSX VORs will not work at all, but most do.

Are you using the NAV preselect feature? This will put up a "ghost"  needle that will be the next radial you want to track...Although, we didn't have an autopilot:-) Only Air Force and Delta pilots NEED them!