Ay ay ay....
First... the delta-v bug is off the screen. You might not see the arrow because they may overlap with other bugs also off-screen. If you see two of the same vectors on opposite sides of the screen, one positive and one negative, that means they are off screen.
You rotated and pointed towards the target, not the delta-v bug.
An object in motion will stay in motion until acted upon by some force. There is no drag or aerodynamics in space. In order to change your direction, it may sometimes be most efficient to turn 90 degrees from your current course in order to "bend" your current path.
In your last pic above (you are still travelling at high physical velocities — it may take time to do a course correction) you are close to lining up your warp vector. Turn the ship to your left, and centre on the -595.45 km/sec bug. Then fire up the main engines to bring that number down. It may take awhile, it's a fairly large delta-v for 12.2g engines. If you look to your right while doing that (remember the cockpit view keys? ctrl-NumPad-6) and you should see the "Boost factor" bug (warp travel vector, if you will) moving towards your target. When they line up, you are good to go.
You do seem to like space travel with engines always at full throttle. I think that may be a large part of your problem.