My main fear regarding naval combat is that CA's interface looks an AWFUL lot like the Imperial Glory naval interface. And anybody who has played IG knows full well how impossible it was to manage anything more than two ships at once. It was also virtually impossible to, say, form a line of battle, and most fights basically turned into 'run in circles, then suddenly change direction to catch the computer by surprise' matches.
Hopefully CA was kind enough to include some formation controls, or at least will allow the deployment of ships prior to battle (which seems likely, from the other preview on the battle).

As to rockets on ships, I recall something about them seeing limited use with the British and Russians (two nations with the most contact with Eastern nations), mostly as a means of setting fire to rigging and so forth. They never really saw a lot of action, however, and were never really made famous. I dont think they were 'dedicated' rocket ships, either, just ships with rocket-launching apparatuses on them.

Steam ships were AROUND in the 1820's, I believe Russia launched its first naval steamship in 1821, the British some time around 1815 or so.
I believe MOST steam ships were of the 'gunboat' variety until the 1850's or so. Basically they had four or five big guns (howitzers, perhaps?) mostly intended for shore bombardment.