L., I agree with the other person who posted that you might let your daughter "ride out the class," unless it stresses her out to be "called out," as you say, for not paying attention, or unless you really feel she's getting nothing at all from it. It's hard at this age to know whether to make them stick with an activity that's an issue or to remove them from it.
A couple of thoughts:
--Assuming she does follow directions well etc. in preschool (and you might want to touch base with her teacher to be sure she is still doing so these days): Maybe she is just "done" for the day with directions by the time she gets to gymnastics and needs to blow off steam and be active without as much instruction. That could indicate she's not quite ready yet for another directed activity in a preschool day, other than preschool.
--You say she enjoys it, but maybe she's a bit bored with learning the moves and just wants to run around, not be instructed on this or that move or piece of equipment. Again, a factor of age -- she can be great in preschool but not ready for other kinds of instruction. She night need more active playtime rather than a class at this time.
--Opposite problem: She might love it so much that she wants to plunge into the moves and onto the equipment without direction. But of course that means she won't learn and could even get hurt.
--The teacher might not be a great teacher, or might not be the best teacher just for her in this sport. Hard to tell if you're not a gymnast.
I'd talk to the teacher without her if there's any way to do that and also, as you wait for her, have you gotten friendly with any of the other parents? They can be great sounding boards for you: "Have you had this teacher before, what do you suggest we do to get my child to listen better, is this typical," etc.
I think that despite her doing OK with preschool instructions, it may just be that she's not ready for another organized, taught activity outside preschool. I know lots and lots of kids have lots of activities but don't feel pressured to continue this, gift or not, if it's stressful.