Typically, the Garmin boxes will do the same thing a bunch of different ways. I guess one piece we are missing here is whether OP wants to activate a Direct-To toward an existing waypoint in the flight plan, or a waypoint not in the current flight plan. The arming sequences are slightly different.
To go to a new (not in flight plan) waypoint, Direct-To, select a new waypoint, then Enter (Activate). A new track from current position to the entered waypoint should be displayed, and the CDI should key to this new track. The flight plan should be unaltered (and sidelined). The Direct-To waypoint is held in a separate buffer while you are navigating Direct-To. You can go back to the flight plan at any time.
To go to an existing waypoint, there are a couple of options (on the 430): Direct-To, large knob to select the FPL field, then select the desired existing waypoint in the flight plan using the small knob; OR, FPL, large knob to select the desired flight plan waypoint, then Direct-To, Enter, Enter (Activate). A new track from current position to the desired waypoint should be displayed, and the CDI should key to this track. NOTE: if you mess this up by pressing Direct-To, Direct-To, Enter instead, you will activate the flight plan leg to that waypoint instead, and the track will be used between the prior waypoint and the selected one. (This is a useful sequence to activate a later leg in a flight plan after initial ATC vectors or a short cut to rejoin an airway farther down the line, but I digress.)
If the OP is not getting the appopriate Direct-To track displayed--first thing to check on the map display after arming Direct-To--then there may be a knobology/tapology sequence issue in activating the desired Direct-To track. If the new Direct-To track is displayed but the CDI is not responding to it, there is some other issue, but I can't imagine how that can happen, since the CDI should be simply deriving cross-track error from active GPS course, unless VLOC or OBS is selected.
Perhaps a good way to test the knobology/tapology sequence is to use the GTN simulator to see if it behaves as you expect. The GNS simulator is pretty good at exploring the knobology of the GNS430W, except that the nav database is way out of date. All the various Direct-To options above work as expected in the GNS430W simulator, and to my knowledge, in my aircraft unit as well. It's little stuff like the difference between Direct-To Enter Enter and Direct-To Direct-To Enter, or where does an inserted waypoint go in the flight plan (before or after the current waypoint?) that will drive you crazy when you are bouncing around in flight trying to amend your track or flight plan. Hence a one page common GNS430 task sheet on my clipboard--it's a lot quicker than opening up the flight manual.
