X-Plane's AI & ATC aren't very sophisticated. If you file your flight plan to go "direct" from KSEA to KBFI, ATC assumes that you will go in a straight line. Obviously, if you are trying to be realistic at all, that is not exactly what you are going to do. The current ATC isn't smart enough to handle this, or to tell you how to appease it.
We are working on fixes to this that should be coming in a later update. In the meantime, you can get ATC to stop yelling at you about being off course by flying in a circle towards the general direction you should be heading for KBFI. Eventually you'll get to the heading ATC wants you on, it will stop complaining, and you can continue from there.