Depends on the type of ship.  Many ships have their join fleet behavior enabled by default.  But not all.  Check by clicking on the fleet management button.  If the particular ship in question doesn't, then you have to highlight all the ships within a gravity well that you want to make a fleet out of and manually select create fleet. Remember that ships only check that behavior when they first enter a gravity well.  If a fleet later shows up to their location they won't join it unless you set it up manually.

So I just can't select the new 'fleetless' ships and the right click the fleet icon? (fleet may or may not be in the same grav well) In any case thanks for the help, now I kinda get it.

I was sure I could do that before. I last played entrenchement when it released and now I got back to it and the new (to me) Diplomacy. 

It will only work if the ships have their join fleet behavior enabled, e.g. Cobalts or LRMs and the like, and the fleet is in another gravity well.  Then they'll join the fleet when they enter the new gravity well.  Otherwise, it will just move units to the flagship of the fleet.

Tiberius is right. Allow me to explain further. If you have a combat unit in one system, and a fleet in another, you can select the combat unit, right click on the fleet, and the combat unit will phase jump to the fleet's current gravity well. It will then auto-join the fleet if it has auto-join fleet behavior enabled.

If the combat unit is in the same system as the fleet and you do the same as before, the combat unit will instead move to the flagship. It will follow the flagship wherever it goes, but will not be an official part of the fleet. I think it will still act as part of the fleet, though. Just if you click on the fleet icon, the combat unit won't be selected. Is that right, Tiberius?

I know certain ships will indeed just follow the flagship around if you click on the fleet icon itself.  But IIRC that ship might not attack or activate abilities while doing so.  It depends on the ship in question.  Also, if you just click on the flagship itself, the unit should just move up to it and then go idle until an autobehavior is triggered.  But it won't follow the flagship around.