APPR(Approach) mode for a Precison Approach (ILS).

NAV Mode for a Non-precision approach.

If APPR mode armed, aircraft will not capture ILS G/S until LOC is at least captured. If it's a tight/spot on vector, you can get a "Dual Cap" where both LOC and G/S capture simultaneously. I have never had a G/S capture w/ out LOC guidance as well.

All of my experience is in the Q200, not the Q400.