I believe both of the iconus guardians abilities are channeling...this means they cannot do anything else while using their ability...giving them new orders will interrupt their ability, which is a waste of antimatter...
It is very important you do not group them in with the rest of your fleet...if you do, every time you order your fleet to focus fire, you may cause the iconus guardians to cancel using their ability...
So to answer your question, iconus guardians won't go anywhere...this means they won't follow a moving fleet if they are currently using their ability, which leaves them both vulnerable and actively protecting nothing...however, if your fleet is stationary they should leave your fleet either...
Focusing on capital ships is a highly controversial decision...in general, it depends on the level and type of the ship, how many the enemy has overall, and what you have at your disposal...late game, bomber swarms usually can take out low level capital ships in 1-2 passes (particularly Vasari bombers)...early game, taking out capital ships can be impossible if they are kiting and the enemy retreats them before they take too much damage...
In general, the two most critical factors are:
1) as Wrath said, only really dangerous capital ships should be taken out...for example, a level 6 marza...
2) how quickly you can kill the ship...a cap with 100% health is just as dangerous as a cap with 1% health...until you destroy the cap, you have accomplished nothing...as Wrath noted, frigates do more damage per fleet supply, and you can quickly destroy several frigates to get an immediate reduction in enemy firepower...the whole time you focus on an enemy cap, his fleet is pounding at you without taking any losses...
Other things to consider...if you are banking on lots of bombers for taking out enemy caps, be wary of abilities like TK push on the Halcyon or Jam Weapons on the Kortul...they can take away a lot of your firepower temporarily and skew your predictions for how long it will take to kill an enemy cap...wiping out repair bays or support vessels like domina subjugators, iconus guardians, and overseers should be a high priority and may make killing the capital ship a lot easier...