Right clicking the "scout" ability will set it to auto, so each new planet it arrives it, it will choose another to explore.

Scouts seem to have a priority to scout the planets closest to your empire. Say your starting, all you have is your HW. There are three connecting phase lanes, to planets unknown A, B, and C. Sending one scout, he is going to pick one of the planets (say A), and then return to your HW to scout B and C, unless A happens to have a phase lane connection to B or C, in which case he'll take the direct route.

Also scouts are intelligent enough to know where other scouts are, and where they are exploring. In the above case, building 3 scouts one will go to each A, B, and C, with no unnecessary backtracking involved (or, if you built one immediately, and he goes to A then direct B, while the second goes to C, then the 3rd scout will obviously target a planet beyond). A little practice and you'll know how many scouts you'll need. Backtracking isn't always a bad thing, it means the scout did a 180 exit (thus usually taking less dmg then running to the other side) and gives him a little time to repair if he backtracks to friendly territory. Still less preferable usually.

Yes, scouts love to die at the pirates. The reason is not normally they feel the need to scout the pirates, but rather since the last scout died the planets "beyond" the pirate base has not been explored. If all planets have been explored at some point, scouts tend to go for the one with the oldest intelligence, the one the hasn't been explored in the longest amount of time. Again, since the pirate base normally kills scouts this usually ends up being a planet on the other side of the pirates, particularly when a player keeps dissuading them.

This is true of all Sins versions.

You can select all scouts at once and turn on auto-explore with one click that applies to all but there's no way to set stances from within the factory before they are built (would be a nice feature though - and for ship attack range stances) but really I don't find this an issue at all. Send your first ones out on auto-explore. If you want to build more, they build so fast, wait for them to all be done and then click once to turn explore on for all. If some are not going where you want them to, just shift click a few jumps for them - it doesn't take much effort.

Would be easy to do in a mod, but no there is no in game way to do that.

This is usually due to having more than one scout at a time. Say two scouts explore a new planet at the same time. One is a dead end and the other has another unexplored world beyond it. Sometimes the scout on the other end of the galaxy will get the priority to explore that planet first. Since scouts never travel to the same destination, the closer scout will then explore already visited planets instead.

One question? Did it ever happen to you that when selecting all available scouts at once and setting them on auto they distributed much more efficiently than when you switched them one after the other? 

If you're playing as the Advent the lingering presence upgrade can be a good investment. You'll get to keep the planet where your scout died revealed for 5 minutes per level, which will prevent other scouts from going to it.

Except on custom maps, you usually can avoid the pirate base entirely....shift+clicking multiple planets in a row can create a very specific path that avoids the pirate base...also, you can sometimes perform "point turns" on the pirate base (or any gravity well with lots of ships)...

Imagine you are at a planet 1 jump "south" of the pirate base and want to scout a planet one jump "south-west" of the pirate base...if you start on the "west" side of the gravity well and then jump to the pirate base, you willl end up exactly in the "south-west" part of the pirate base gravity well...from there, you can quickly turn and jump "south-west" to the planet of interest...this method may not always be viable, or it may require multiple point turns through the pirate base, but it is an option and is very useful for getting fleets through the pirate base or other places with lots of ships...

Scouting effectively sometimes requires micro and not relying on the "explore" autocast...not the optimal situation but really most ships and abilities need micro to achieve full effectiveness, and scouts are no different....