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In P3D, there is an issue with the AFX files which are falsely assigned. The FSX Version is working properly. If you are using P3D with SODE and run into troubles with the jetways, you can try this HOTFIX on your own:
Go to (your Drive):\Prepar3d\Aerosoft\MALAGA_AIRPORT\scenery and rename the file AFX_LEMG14.off to AFX_LEMG14.bgl and the file AFX_LEMG14_SODE.bgl to AFX_LEMG14.off
So basically, you are renaming the two files, which will enable the CTRL-J Jetways. For the SODE-Jetways, you will unfortunately have to wait for the official fix.