Is there a rudder position indicator? It may be disconnected from the rudder so the unit is getting no feedback.
Also, it is possible to connect the indicator wires back-to-front so that it works properly when the rudder position indicator is fitted upside-down. If the wires were disconnected, they may have been reconnected incorrectly.
I think it will work if there is no rudder position indicator, in which case it will be trying to align the boat with a course, but, of course, if the boat is tied up at the dockside nothing will happen. This might lead you to suspect that the fluxgate compass is reading incorrectly. It is a separate unit (unlike a tiller pilot) and maybe there is some iron near it, or it may be disconnected.
What happens if you switch it on without locking the drive belt? Does the motor continue to turn indefinitely.
Finally, note that when you power it up it turns the belt a little bit so that every part of the belt gets used. So you should not have the drive locked when you power up.
Finally, finally, is it possible there is a power supply problem (loose connection etc) so that switching on Auto causes it to re-start.?