How much higher does it have to be!
You really deserve an
Animated GIF:
This is your exact scenery situation (default LEMG, Gate G1), at different complexity level settings. Sorry for my FSX which is in Italian, but the "Scenery Complexity" setting is quite obvious to recognize. "Estremamente Densa" = "Extremely Dense".
Your screenshot was "Very Dense", which is the step before and, guess what, the jetway disappear: