For anybody else having issues, please reference the photo below (which uses the GTN750 merge I made but AP usage should still be the same)
In the Caravan EX, using the GMC 710 (autopilot mode controller, center/top of the panel), select the altitude using the ALT SEL knob (1). Once you've "dialed in" your desired altitude displayed above the altitude tape on the PFD (2), you have two options to get to the new altitude: Flight level change FLC (3) or vertical speed VS (4) -- as well as technically VNAV if you're on a vertical track - though I doubt Carenado's G1000 models that. Both modes use the wheel labeled DN <----> UP (5) Keep in mind in the real airplane, the mode controller "drives" the flight director, not the autopilot per se. It's up to the crew to decide if the autopilot is coupled to follow the flight director or not... But, for the purposes of what we're discussing, assume the autopilot is engaged as annunciated with a green AP in the AFCS Status Box (6).
Note: In the real Caravan, I will almost always use VS mode when descending and FLC mode when climbing.
VS mode: Select your desired altitude (1) and engage VS (4). Use the dial (5) to set the desired rate of ascent or descent. The requested vertical speed is reported on the P3D tooltip on the dial itself as well as in the AFCS status box (6). While climbing/descending to the selected altitude, you should see a white "ALTS" (altitude select) annunciated in the AFCS status box. This will change to a green "ALT" (altitude captured) when the altitude is captured.
FLC mode: Select your desired altitude (1) and engage FLC (3). If climbing, make sure you've got adequate power set to maintain at least +500 fpm. Use the dial (5) to set the desired airspeed you want to maintain - the rate will vary based on the selected airspeed and power setting. The requested airspeed is reported on the in the AFCS status box (6) as well as above the airspeed tape (7). The white ALTS should change to a green ALT once the desired altitude is captured.
Hope that helps!