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I've never had any automatic that let me skip gears. Unless the Corvette is different than every other car I've driven (my vette is manual so I won't claim any absolutes), if you start with it in 1, then move it to 3, 4, whatever, the car will shift like normal up until the gear you are holding it in.
St. Jude Donor '06-'07-'08-'09-'10-'11-'12-'13-'14-'15-'16-'17-'18-'19-'20
NCM Sinkhole Donor
On the C5 A4...
1 - stays locked in First Gear
2 - stays locked in Second Gear
3 (1:1 drive gear - same as 4 in a manual) - Allows the car to shift between 1,2,3
D (Overdrive) - Allows the car to shift between 1,2,3,D
So, by moving from 1 to D, nothing spectacular will happen. The car will just start shifting on it's own. There is no upshift that you can do in a C5 that will hurt the A4 tranny or the motor.