No, just set the "Tanker" flag in the class design screen, and you should be fine. If not, try entering SM-mode, and then turning it off-and-back-on.
Not sure if this will fix your problem or not... let us know.
Make sure your Harvesters have no contingency "Refuel" orders (eg: when fuel < 30%, refuel at a colony within 4 jumps). Turn that stuff OFF.
*Edit-So I can see they are harvesting fuel, but the cycling I put on move to saturn (So they return to saturn after they drop off their fuel?) causes them to interrupt my turn-ending. How do you do this properly? O:
Don't use order-cycling. Put it in their contingency orders : "When Fuel Tanks are full = unload 90% fuel at nearest colony". That should be Earth anyway.
I don't do it quite like this... I build huge ships with
no engines (Space Stations) and just tow them to Saturn with a tug. When they're full, a tanker will go get the fuel and transfer it to Earth.