I agree with ar81, one time, I was trying to use the autopilot to dock to the ISS, so, I also expirienced the same problem that bealieu had, soon, I found out
why the autopilot won't dock.
Many, many, months before every scenario on my orbiter version

failed.
Yes. I just press Crtl+I, then I select my target vessel and find out its dock frequency and then set the frequency into NAV 1 then enggage autopilot. Easy
huh?