For the plane to follow a flight plan it must be entered manually in the FMS. Planning a flight with the in-sim map screen will let ATC know what you’re going to do but the plane uses a different and far more complete database than MSFS and will not automatically load your mapped out plan. You’ll want to use something like Simbrief to make a flightplan and then use that info in the FMS.
There is a good tutorial on how to do that from The Dude on Youtube as well as a tutorial PDF in the plane’s documentation folder.