Right now, the auto pilot for rockets does only yaw and pitch but no roll. This is very important for asymmetrical rockets to maintain stability and this is also great for keeping the right orientation of the rocket. I've also seen rockets with fins being unreasonably unstable because the control surfaces are locked to their respective axes without accounting for the crafts actual orientation in the roll axis. The simple way you can fix this is by tying the roll PID to the selected heading in the NavSphere or to basically make the rocket roll it's face to the desired heading. There may be complications with how will this share with the pitch and yaw inputs but at least we'd have proper rockets. Of course if you don't want your rocket to roll then you can just set the roll PID to 0.
Also, the face that I said is the way that the pilot orientation is facing towards.