"Firstly, what are fighters used for usually?"

Killing bombers. Also harassing other ships.

"Should i just always have bombers in the docking bay? Or is their strength only useful for capital ships?"

I've seen them do decently against anything other than fighters and flak frigates. They way I play the bombers and fighters are the fastest things to reach the enemy and do damage, which is important when the enemy ships are trying to evade my fleet or jump-in-jump-out. Lots of enemy scouts met their doom thanks to my bombers

"About fleets, i set my factory rally point on my starting capital ship but the ships that are getting built dont get into the fleet automatically, i have to select them all and Create Fleet every time, any easier way to automate this?"

Hmm, I haven't had that problem, but I've typically just been rally-pointing to a grav well rather than a ship. Have you checked to make sure the new ships' "form fleet" button has the little circling arrow on it (right click to toggle)?

"Also, does Advent have refineries? I can't find them in the build menu."

Advent Trade posts can switch into refinery mode, but the refinery-mode post will only benefit that specific grav-well, whereas other races' refineries benefit that grav-well and any grav-well (that you own) 1 jump away, iirc.