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I have been having a lot of trouble keeping my convoy points at sea in the return to base step, with convoy points I meant to stay at sea being unintentionally set to return to base. I was always having to do the "Stay at Sea" step, go to the "Return to Base" step, see which CPs were going home, and go back to the Stay at Sea step and fix them. Sometimes I would half to do this multiple times. I would check everything, and cycle through all of the units one at time, and I would still always have problems.

The last two turns, I have not had to redo the Stay at Sea step. The secret is to execute the "Stay at Sea" step with the global map visible, with its view set to "Allied [or Axis, for the Axis] Convoys". This tells you how many convoys in each sea area have received stay at sea orders. When the North Atlantic says "3", instead of "18", or when the chain from southern Africa is outright missing, I know there is a problem. (Both of these happened my last turn.) If there is a gap in a convoy chain, I should be able to see it, but I don't always; it is still necessary to cycle through all the CPs one at a time. When I did so, I noticed that the CW CP in the Eastern Med. was not staying at sea.

However, between having the global map visible and cycling through all the units, I did not have to replay the stay at sea step for two turns in a row, which is very good.

Go to the Production Planning form and at the bottom, switch to the larger map [it shows the convoys]. There is a check box for returning unused convoys to base. That might be part of the problem. The other part might be that you may be clicking on the convoys during the Stay at Sea phase. Even just trying to cycle through a stack can result in the convoys being taken off the Sentry function. Once off, you cannot reset that until the next turn. At best, you can make then Stay at Sea, but during the next turn, they will show up as available for Naval Movement. Just reset the Sentry function then and you'll be fine.
If you need to check a stack, just Ctrl-Left Click the stack. You can Esc out without setting anything. Though, only convoys can be made to stay at sea when already in the "0" Box.

I've been experiencing this same problem. I'll go through every convoy and make sure they are in sentry mode but still sometimes they will want to return to base.