There's a sticky out bit on the original steering wheel that links into the indicator/dim-dip/horn switch that then cancels the indicator when you spin the wheel the other way.
When you put on a new wheel, 9 times out of 10, there isn't one on it. Mine's the same.
You can either get used to manually doing it (I did) or add something to the wheel (drilling probably required) to latch into the above switch!