I know your pain, I'm only play 1890 campaign and not being able to destroy transport ships "The most intuitional way" A.K.A killing everything that dares to oppose you is really annoying. So far I have discovered two solutions to this massive inconvenience:
1. Kill almost every combat vessel except one which you severely cripple, after that you go to the general direction from where enemy fleet dared to approach you. It is my preferred method due to it's simplicity
2. Use cheat engine. So yeah, it's hideous, don't recommend unless you go full cheater mode alt-tabing every turn and in best case scenario reaching radar technology after 40 months of speedrunning rangefinders, and on top of that this tech is not good as other options