I'm not sure if it's the same in ETW, but in the previous titles, if you enter the battle and then just tell your forces to withdraw, they will run further away from the enemy then if you just clicked the retreat button without entering the battle. So you might want to try just entering the battle, lining up your forces near the edge of the map, and hitting retreat.
That's pretty much what happened, the fleet escaped unharmed on the battle map but on the campaign map the fleet was out of move points. The battle was considered a loss and therefore the fleet was sunk.