Not really, the UI works exactly like the thing it models. Bank the plane to the left, the horizon moves to the right. And so does the artificial horizon.

I think people get confused when they see the marking representing the planes wings not moving relative to the console, but they see the blue-and-red thing inside the instrument moving. So they assume that their control inputs are causing the artificial horizon to move, when in reality, they are moving the plane and the artificial horizon is remaining still, just like the real horizon would.

Presumably there is some sort of mental issue with the "size" of the horizon -- when you look out the window, it's really big, so of course you're not moving it. Newer cockpits make the artificial horizon bigger, perhaps to compensate for this effect: http://www.cockpitgps.com/VOR_magnetic_variation/G1000CBEAV-...

I know that as long as I remember "fly the little airplane, not the horizon", it's not a problem. And as the comment below mentions, you also have a turn indicator, which clearly shows "R" when you're turning right and "L" when you're turning left: http://www.unitedinst.com/images/TurnSlip9500Series.gif