SP1 did not address Direct To whatsoever, it appears. I've been emailing them about this being unacceptable, and they claim to be working on it still...
The NAV will just turn you hard back towards the active leg and then slowely turn back to intercept the "radial" of the original flight plan leg.
Also, the FLC is still useless and anytime you change the type of climb or descent profile you use, it cancels Altitude Capture, and the PFD isn't realistic enough for you to know otherwise.
If these three things aren't fixed in the next month or so, I'm gonna have to get my money back. 50 bucks should get you a plane that replicates the experience of the real thing, and without these things...