When you make a new fleet, it always autobuilds at your homeworld. If there are no ships IN THE FLEET YET, then there is no location for the fleet and it builds at the home planet. We need to be able to designate a location for the new empty fleet so that when we use the fleet menu to build ships, they are built based on and rally at the location we want them to go to. This let's you make fleets at the specific system you want (ie at the edges of your empire), rather than them building from the homeworld and having to jump to get where you meant (and probably using inefficient factories).
To do this currently, you must make an empty fleet, make a ship at the planet you want (not as part of a fleet), find and select it, and then add this ship to the new fleet (all very micro intensive and zoomed in). That then causes the fleet to be located where the ship is and then you can build from the fleet menu and have it do what you meant.