I just took mine up to test it out. I actually ran into an issue where I was unable to get it to record the waypoints at all. Granted I was using the android version so this might not apply to you. I attempted to get into the settings menu (gear icon) prior to setting the first waypoint but once I did it wouldn't allow me to set any waypoints NOR would it even allow me to exit out of the settings menu or "apply" because it said that I needed more than one waypoint set (C2 wasn't setting any waypoints while in the headings menu)
Before I did that though, I attempted to reproduce what you were saying was happening and you were right, it did exactly what you said. Kind of a pain in the *** way to go about it. Previously I hadn't gone from recording a mission to running the mission with different heading settings immediately after. I had only set up the mission and then later on gone into the mission and set up the headings and flown it. In that case, where you are simply pulling up previously saved missions, the workflow seems pretty straightforward. But yeah, in a situation where you want to set up a mission and then run it immediately afterward with different heading settings, it's a straight up pain in the ***.