You gave them orders, right? If you simply send a fleet to a place by right clicking on a sea zone, they will stand there an do nothing. If you want them to fight, you've got to assign them missions, then assign them a mission zone. For example, say you have a fleet with 2 squadrons in it. To get sea control, you can have a squadron in your fleet assigned to a "patrol" order, and another (bigger) squadron with a "strike force" order. Then, right click on the sea zone you want to control, and it should turn blue-green to confirme that this is now the fleet's operational zone. This means that the patrol squadron will now roam those waters, looking for enemy fleets, while the strike squadron waits at port and waits for an opportunity. If the patrol finds an enemy fleet, it will signal the Strike unit that will get out of port and join the combat as fast as they can.
