The following does not apply to the KI208A or KI209A indicators.
If you get continual messages on the IFD to "Set Course To xxx" and your analog CRS is set correctly, it likely means you need to calibrate your OBS input.
You will need to boot the IFD into Mx mode, and toggle to the "Config" tab. From here you will want to use the lower RH outer (fat) FMS knob to scroll to the "Main CDI/OBS Configuration Page" shown below.