Hi, just started using the program again, and like before I am getting over-precise heading requests from ATC such as "turn left heading 241", or "034".

Not an expert but wouldn't these normally be rounded up or down by 5 degrees for clarity? e.g. "240" or "035"

Using latest version 2.4.0.6 x64 c

The program used to round to the nearest 5 degrees, but that resulted in getting vectors back and forth across a long path. 

Giving the precise headings results in better vector results, and is not uncommon in the real world either.  With autopilots, punching in 241 is just a easy as punching in 240.  Flying by hand, just interpolate as best you can.