There is no setting that i know of that tells you audibly that you have missed a waypoint. Yes it would make perfect sense to have that built in but to my knowledge it doesn't do that.
The skip function is a help, however what i do is create a track in Basecamp from my route.
This creates a line on the map of your intended roads you planned to use. It doesn't alter whereas the magenta calculated route can and does.
Once applied to your GPS map its a great reference to show you if you may have gone off route. if the track line is still in the magenta you are on your intended route
if the track line is missing you are no longer going your intended way.
and the Zumo has routed you some where else. perhaps trying to get you back to a waypoint.
How to create a track?
In Basecamp in the lower LH window, next to the map, is your route you will have made with listed waypoints the route signified by two green squares and car icon(if using the driving activity profile). right click on this icon and select "create track from selected route".
After you have sent the route gpx file to the Zumo the track will have been sent with it, once data has been imported, select Apps --> Tracks --> select the created track --> Top LHS touch spanner icon --> tick show on map --> set colour scroll up and select black (seems to stand out best) save
Then activate your route the usual way Apps --> trip planner --> select route
So when the track line disappears (as you are riding along following the route) you can zoom out on the map and figure out immediately what is going on because the track will come into view and you can compare it to the calculated magenta route and then suss out what the zumo is up to.
+ 1 for Wappings advice setting the recalculate to prompt it works better when trying to follow a route. generally select NO when asked to recalculate and zoom out to find your way back only select yes as a last resort.
Hope this makes sense try it out on a test route and Track on familiar roads around where you live say a 5 mile route somewhere and deliberately ride off the route to see how the GPS handles your waypoints and shaping points by selecting No and Yes on recalculates. It will pay dividends for when you are in unfamiliar territory.
Once finished withe the track Use the same links to delete the track after you no longer require it Apps --> Tracks --> select the created track --> Top LHS touch spanner icon --> delete
This works for me