We were recently scolded by an Air Traffic Controller for not adhering to a routing clearance. We were told to proceed direct to waypoint HAZEL then on course. The direct course to HAZEL and the outbound course from HAZEL to our next point differed by 160 degrees. Our Gulfstream's Honeywell Flight Management System and autopilot applied turn anticipation in order to roll out on the course outbound from HAZEL. While halfway through the turn, the controller asked us where we were going. We replied we're turning to proceed on course. The controller said we were supposed to fly direct to HAZEL and that we never got closer than 8 miles to HAZEL. While we disagree with their estimate of how far away from HAZEL we actually were (the other pilot and I saw it as 6 miles), the question remains what is the acceptable limits of turn anticipation and are we in danger of being violated for following the guidance of our navigation system that was properly programmed and, as best we could tell, operating correctly?