When I select an approach and then hit "load" the plane flies back to the last waypoint before resuming course. "Load and activate" - the same. What's going on here?

I got the same behavior. I fiddled around with it awhile. What worked for me was completely unloading the flight plan, then selecting the approach and loading it. Then the plane targeted the IAF.

I think what's happening is that even though you have selected an approach, when you hit load or load/activate, it's re-loading your original flightplan. Hopefully that gets fixed.