I've noticed this since installing the 1.04 patch. There is always one ship per fleet that wants to leave. For example, in the current game I just started around an hour or so ago, I have a fleet which contains 10 Cobalt frigates and 5 LRM missile frigates (playing as TEC, I haven't played any other factions since getting 1.04). One ship (currently a missile frigate) always tries to go from wherever the fleet currently is to the rally point of the frigate factory at my home planet, where the fleet was built. I have my fleet set to all jump at once so the ship is never able to actually phase out, but it still tries. I had the same problem with another fleet of Cobalts I was using for scouting and cleaning up small neutral worlds, and one Cobalt had the same problem. Later, when I merged the two fleets, the Cobalt stayed with the fleet but the missile frigate still has the problem.

It's not a major glitch, but there's always a single ship per fleet that won't fight because it wants to leave. I can give it other orders, but as soon as it reaches weapons range of the target or reaches wherever I moved it to, it instantly turns around and heads for the edge of the gravity well to leave.