Once you select all the ships with the surround box, in the empire tree running down the left of the screen you will see the ships you selected. One of these will have a whiter box than the others. Press the TAB key to change the whiter box to another ship or SHIFT + TAB to go backwards through the list. The whiter box will be the fleet leader.

It is also a good idea to make multiple fleets within a fleet. Once I have multiple carriers I fleet them and always keep at edge of the grav well ready to jump and out of harms way. Once the threat to ships is removed I advance main fleet leaving carriers to protect planet bombers and structure killers. Anti-Structure (torpedo) ships I also separate fleet. Even sometime I have a separate fleet of repair ships so when I point my fleet to attack the repair ships don't attack, rather they can easily be pointed to the ships needing repair. 

It sounds like you're experiencing one of these things:

• you're somehow not selecting what you think you're selecting. I sometimes notice issues when trying to do some complicated fleet re-assignments and paused. Simply save and try the same thing unpaused to see if it does the same thing. of course, you might not be paused, so...
• you dont have the capital set as the focus of your selection. beyond just selecting what ships are in the fleet you want, you have to use TAB and alt-TAB to focus on the ship you want as leader. Capital ships should be the default focus, so simply going to the empire tree and clicking your faction icon next to the ships should select everything and the capital should be the default focus (disclaimer: between capital ships the game makes up its own mind as to which capital ship should be the default focus.) this is the situation the above post was talking about.
• You could be confusing fleets with groups. when you assign a selection of ships to the #1 key, you are creating a group. fleets, on the otherhand, do not have a default key and can only be selected by clicking the fleet icon either above the flagship or at the top of the empire tree. You can assign a group to the same ships that are in a fleet, but if you reassign things later, what happens might not be what you're expecting if you dont realize this.
• You could be trying to group seige craft, antimodule craft, scouts, or a starbase constructor with your fleet/group. In this situation, logic breaks down. Its often difficult to select what you want to select to begin with. once you succeed and create your group/fleet, I find you need to constantly redo the assignment. Its almost like the Auto-join brains have shutdown. best thing is to avoid putting those craft into your group. you can still get them to follow the flagship by following the below:
• Try selecting just the capital ship and choosing the create fleet command; make sure auto-join is on (you can tell by the rotating light ontop of the join fleet button). Next, highlight all the other ships you want in the fleet and right-click the capital ship. they should all join. you should also be able to accomplish this through a simple left click of the join fleet button (I assume that you tried that though)

I did notice that (option 5) and went HUH. That option is strictly for following. If you ever want to play multi-player, do not get in the habit of pausing. Pausing is good to read a new tec tree. You can also pick good time to go for coffee and leave game running.

Grouping keys can be very useful. I change the keys to my Keypad and use them quite often. Group a single starbase on the front to the 0 key and you can easily jump to or send reinforcement to that location. Can't find your colony frigate, group to 9 and instantly found it. 

I will have to try the joining by clicking on Fleet symbol. That is something I did not realize and if it works, karma for your coffee.

Pausing is great for learning the ropes.

Yes those ships don't auto join. They can be manually added though I don't recommend it. Grouping or Fleeting the siege and/or anti-structure separately is best. I keep my siege at the edge while the Anti-Structure clear a path to the planet. Advance main fleet while those ships clean up. Do not add the colony ship to the fleet (never tried) as this ship will be destroyed quickly.