Brett, you'd be correct. A GPS should give you the great circle route to your destination.
The difficult part when thinking about direct routes is making the jump from a 2D map, which you are used to looking at, to a 3D sphere, which you are actually flying over. As you probably well know, you cannot transfer the surface of a sphere onto a 2D surface without loosing something in the process. The 2D pictures which people are commonly used to looking at is called a Mercator Projection
http://mathworld.wolfram.com/MercatorProjection.html. Near the equator it's ok, but as you mentioned before, the lines of longitude actually converge at the poles but in a Mercator they remain parallel. This leads to some pretty hefty distortion in the polar regions. If you were to draw a straight line on this chart, what you'd end up with is a Rhumb Line
http://en.wikipedia.org/wiki/Loxodrome. If you were to actually draw this on a globe, you'd find out that the line is actually curved, not straight. An example of a rhumb line is a line of latitude. They cross each meridian at 90 degrees and appear straight on a Mercator projection, but plotted on a globe, they are actually curved lines.
Now, the shortest distance between any two places on the globe is actually the reverse of that. You want a straight line on the globe. This is, as mentioned before, the Great Circle Route
http://en.wikipedia.org/wiki/Great_circle. The unfortunate part about a great circle route is that it is difficult to calculate from a chart, especially near the poles. A Lambert Conformal Projection
http://mathworld.wolfram.com/LambertConformalConicProjection.html will get you close, but only over a small distance. Luckily, equations work out pretty nicely in math terms, and with GPS and computer technology, calculating great circle routes is a snap. Now, plotting a great circle route on a Mercator projection will look like a curved line (like the rhumb line looks curved on a globe) because it usually crosses each meridian at a different angle. As such, great arcs are not as easy to fly manually because you will be slowly, but constantly changing your true (or magnetic) course. Again, with the advent of GPS technology and autopilots, this becomes less of an issue.
This little speech does come with a warning though. This is what real GPS units do, including the real Garmin units that are emulated in MSFS, however I've never bothered to check if MSFS's units emulate this behavior correctly, thought I can't imagine why they would not.