As Germany I usually build all three, but in differing amounts. Interceptors are for the British and their bombers. They patrol my naval ports in north Germany, Denmark and Norway and the Dutch, Belgian and French coasts.
Fighters are for sweeping the skies clear during my offenses: Poland, the Balkans, North Africa, Russia, etc.
Escort fighters are built in very limited numbers, and attached to Naval Bomber squadrons.
Often, as Germany, my 4-odd Escort Fighters will remain the same throughout the war, only being up-graded from time to time. Usually, my need for more will be managed by the shifting of theaters. Taking Gibralter will seal up the Med and free up planes for the Indian Ocean, etc.
Conclusion: if you are a major power, you really need all three, but the numbers of each type will vary, and you can usually fit in the research slots for the equipment at some point as you go along. Doctrines for fighters are (for the most point) the same for all three, so you lose nothing there.