Is Autopilot NAV setting useful?
There are essentially two scenarios on departure: an initial vector, or flying the departure procedure track immediately "off the ground."

In the former case, the instructions might be along the lines of, "fly heading 120, expect vectors to JEBBB" or "... to join the WHOZT5 departure."  In that case, shortly after takeoff, the pilot would select Heading mode and fly the specified heading.  At some point after that, ATC would issue a clearance to proceed direct to a fix, and then the filed route would be flown from that point on.  So upon receiving this clearance, the pilot would proceed direct to the given waypoint by engaging NAV (or, given modern nomenclature, LNAV).

In the other case, the first leg of the departure corresponds to the "straight ahead" track of the departure runway, and LNAV is activated immediately after departure, and the aircraft will fly the magenta line as published.  So in this case, Heading mode isn't used, unless ATC needs to vector the aircraft off of the published track.  In that case, they can either issue a vector, or they can clear the aircraft to a later point in the procedure or along the route.

In modern ATC, it is very uncommon for an aircraft to be getting vectors enroute, simply because it is more workload for the controller with no benefit.  Once you're away from the terminal area, they clear you on whatever route you've filed (or been assigned), and they don't have to do any more navigating for you.  If they need to turn you off course for traffic, they will, but that's the exception, not the norm.