IIRC, some pre-release change notes said that they were suppose to auto move to the parent fleet or something like that. I never managed to make it work. Or I may be imagining things/misunderstood something.
Otherwise, it's there for better organization and targeting. Real navies use Squadrons, Divisions and other semi-permanent formations for administrative purposes. I personally love this ability, helps stay sane while managing your forces. Targeting for sub-fleets was bugged the last time I tested it, though.