I've tested and confirmed this for all 6 factions.
If you order corvettes to attack something in another gravity well, they're fine as long as there's a phase lane between them and the target (one hop). But if you order them to attack something more than one hop away, they completely forget about phase jumps and try to get there in real-space. This happens even when they're part of a larger fleet that transits properly.
The quickest way to replicate is:
- Start a new game.
- Build a corvette.
- Get vision of hostiles two hops away from your homeworld.
- Select the corvette and right click on the hostiles (either directly or through the galaxy map).
- Watch your corvette get lost in space!
Move orders are fine. It's only attack orders that have this issue.
The workaround is pretty straightforward, just avoid using attack orders with your corvettes unless the target is in the same well (most people probably do this anyway).