I don’t think this is 100% wrong, I have had this in real life with the Garmin 430/530. What you should do is select direct to the final approach fix and then select the leg from the final approach fix to the runway in the flightplan and select “activate leg”. I don’t believe it will sequence back to the waypoint you skipped in real life but with GPS approaches the auto sequence is disabled if you fly direct to FAF without activating the next leg.
I don’t know if this option is available in MSFS, but selecting “activate vectors to final” will disable the whole flightplan and draw an extended centerline, intercepting the final approach course before reaching the FAF this way will enable auto sequencing to the approach.
That being said, I’m not sure if you are allowed to fly the approach like that. I’m not 100% familiar with the G1000/3000 anymore but I know that on a couple of other avionic systems I have flown, not flying the approach as published via the IAF will result in GPS not switching in terminal and approach modes (1 nm and 0.3 nm CDI deviation), since in MSFS the CDI is always in en-route mode this probably doesn’t matter though.
Edit: I just noticed that FIVBA is not the the FAF, CUGTO is! Why would you fly direct to FIVBA, skipping the FAF? You can’t fly a GPS approach that way, I’m pretty sure this will create problems in real life as well. You probably could do it if you want, again by activating the leg from FIVBA to the runway, but in real life nobody is gonna take the responsibility and clear you for that. You are basically creating your own procedure, hoping you won’t hit anything in IMC while not flying the published tracks below MSA.