You can now anchor a vessel, an anchored vessel will not follow you when you move on the ocean.
The purpose to anchoring is to allow you to pick and choose which vessels you take into battle, as you may have a vessel setup to act simply as a cargo ship.
However you must have at least one vessel that is not anchored otherwise you will be thrown back to land as if you had no vessels.
Even with a vessel anchored you will be able to trade to it via the Cargo screen.
To raise or lower a vessels anchor go to the Property > Vessels screen, select the vessel and click the appropriate button on the right of the screen.