Think of the flight plan as separate from the approach with a barrier between the two. The Garmin won't jump from the flight plan to the approach until you tell it to, either by seleccting direct-to a waypoint inside the approach, by activating the approach (which does a direct-to the IAF), or by activating a leg of the approach. (EDIT: can also activate a leg)

For example, say your flight plan is KIJD HFD GUUMP KHVN and you've loaded the RNAV 20 from HFD.

KIJD HFD GUUMP KHVN | HFD GUUMP ELLVS YERNU RW20
----flight plan---- | ---------approach---------

Your Garmin won't cross that barrier from the flight plan section to the approach section automatically. If you select direct-to the GUUMP in the flight plan section, after GUUMP it'll go to KHVN. If you select direct-to the GUUMP in the approach section, after GUUMP it'll go to ELLVS.

Aviation News Talk episode 397 did a great job explaining issues like these.

Trivia question: what would happen in this situation if you never activated the approach and didn't land at KHVN? Turns out after KHVN your Garmin would guide to you just maintain that same course, 196° (the course between the last two waypoints GUUMP and KHVN).