No, you are not missing anything. That is a perfectly legal move. I am assuming that the Allies still control Gibraltar, right?
In fact, in your example, since Gibraltar has a friendly naval base (assuming it hasn’t been bombed), the US fleet could go all the way to Sea Zone 95 and park right next to Italy if Italy had no ships there OR they just had submarines and/or transports. Even if Italy had fighters on their air base, they couldn’t scramble because it is the US NON-combat move.
You can basically move your ships to any sea zone you want as long as there are no enemy surface warships blocking your way, or as in your example you have cleared any enemy warships.
Of course, that US submarine would have to remain in the sea zone just east of Gibraltar since it moved in the combat movement.