CITATION CE750 FLT CREW HAS A HDG COURSE DEV WHILE DEPARTING SDL ON THE BANYO 4 DEP.

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I WAS THE CAPT AND PF FOR A FLT OUT OF SCOTTSDALE. OUR CLRNC WAS THE BANYO 4 DEP. THIS SID WAS PROGRAMMED INTO BOTH FMS'S AND BRIEFED AS PUBLISHED ON THE SID WITH THE FILED TRANSITION AFTER BANYO INTXN. A NORMAL DEP AND CLB WAS MADE FOLLOWING THE FMS AND WRITTEN DEPICTION OF THE SID. WHILE ON THE 300 DEG HDG PER THE DEP; ATC STATED FOR US TO TURN TO 320 DEG HDG; INTERCEPT THE PXR 321 DEG RADIAL; RESUME THE DEP. I SELECTED NAV ON THE FLT GUIDANCE PANEL TO INTERCEPT THE DEP. APPROX 5 NM OUTSIDE THE BANYO INTXN; ATC QUERIED OUR RTE. THE PNF STATED THAT WE WERE FLYING THE DEP PER THE FMS TO BANYO INTXN. WE WERE GIVEN AN IMMEDIATE L TURN AWAY FROM THE COURSE TO BANYO AND TOLD WE WERE FLYING THE 'LOST COM' DEP PROC. AT THAT POINT WE REALIZED THAT OUR CLRNC GIVEN AFTER DEPARTING SDL WAS NOT THE CLRNC PROGRAMMED IN THE FMS AND WHAT WAS ISSUED ON THE GND AT SDL. WE STATED TO ATC THAT THIS WAS CONFUSING. THEY REPLIED THAT THIS DEV HAPPENS VERY FREQUENTLY AND FOR US TO WORK ON GETTING THE DEP PROC CHANGED BY VOICING OUR CONCERNS. WE SHOULD HAVE VERIFIED THE ISSUED RADIAL OFF OF PXR ON DEP AGAINST THE FMS INSTEAD OF SOLELY RELYING ON THE FMS GIVING US THE CORRECT INFO. IN ADDITION; PHX DEP ATC; KNOWING THAT THIS PROC IS CONFUSING AND CAUSES PROBS; SHOULD ENSURE THAT THE PLT UNDERSTANDS THE NEW CLRNC INSTEAD OF FLYING THE PUBLISHED DEP PROC. CALLBACK CONVERSATION WITH RPTR REVEALED THE FOLLOWING INFO: RPTR STATED THAT THE FLT CREW MISUNDERSTOOD THE CLRNC TO TURN TO A HDG AND INTERCEPT THE RADIAL. THEY THOUGHT THE CTLR ISSUED THE CLRNC TO CONTINUE ON THE PUBLISHED DEP AND THEY SELECTED LNAV. THIS TURNED THE ACFT TO THE NEXT WAYPOINT (BANYO). HE STATED THAT WITH THE FMC/GLASS COCKPIT AND THE AUTOMATION INVOLVED IN THE NEW GENERATION ACFT; THAT ANY CHANGE TO THE PROC CAN CAUSE CONFUSION. THIS ANALYST HAS RECENTLY FLOWN THIS DEP AND CTLRS WILL ISSUE HDGS TO INTERCEPT ON A REGULAR BASIS. THE FLT CREWS 'MUST' LISTEN TO THE CTLR'S INSTRUCTIONS.