I have gotten it to work. What device do you have?
I beleive it only works at road speeds, it is not like using a map orienteering style - i.e. the map does not rotate in your hand as you turn the device around. I beleive this feature isn't linked to the compass/gyro/accelerometer at all. It is only linked to GPS position data. So as it detects direction change at road speed, it will rotate the map accordingly.
I don't think it works very well while walking for example.
There are some smarter things you can do with all the sensors. If you look at the video presentations from the MIX 11 conference you can see what is possible. The implementation in the BingMaps is pretty basic and not taking advantage of everythign the devices have to offer.