There isn't anything wrong its just something that happens when there is no wind blowing or if the wind is varying in direction, this confuses the AI and they start using different runways. PFE has a look which way the wind is blowing and looks which runway is being used by the AI. The wind then changes direction in the meantime and the AI start using another more suitable runway, possibly different to the one you have already been assigned.
Next time this happens at departure just use the facilities within PFE to request another runway after you are told your taxi instructions. i.e. turn off the taxi guidance system by pressing 1 then select a new runway with the keyboard short cut to request a runway change. It's all explained in the manual.
Approach is another matter, and you really don't want to be changing runway anyway once you are on the glide slope for example and PFE now inhibits the runway from being changed when you are in this situation. In the past you could get multiple runway changes when the wind speed was low and varying in direction, the runway selection changed that often that sometimes it was almost impossible to land as you were constantly being told to change to a different runway. Hence the reason its the way it is now, the weather and AI system built into the simulator simply isn't smart enough to handle such variable wind directions, so its something that PFE has to compromise on to make it as usable as possible.