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After a missed gps approach, the heading bug disappeared. The flight director is a shady color. The heading on off button is yellow. You can numerically select heading but no bug.
This is on new to me equipment so operator error could be high on list. 5800t, gtn650, 4500 heading bug is still there.
The Heading Bug can be turned on and off from the [SET] -> [EFIS] -> [HDG BUG] menu.
I'm at the same (operator level) place as you....I think the answer is on pages 288 289. The A/P expects to land out of the approach, so if you go missed, you need to suspend the procedure and allow the Navigator to fly the missed lateral guidance while climbing to the altitude bug. Again, I could be wrong...