Sentry orders should stay in affect until a ship's supplies get into the "yellow", then they should clear. Useful to put ships on Sentry, then give a Resupply/Return order, then set orders to repeat. That way you don't have to worry about your warp guards if you keep two fleets there with this setup (so when one resupplies, the other is still there), unless of course they are destroyed by an enemy fleet
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As was already said, this is useful for such things as your warp guard ships/fleets so they won't come up as you go through your order-less ships/fleets.
As for Patrol and Intercept orders... Patrol can be accomplished by queueing up multiple move to orders, then setting orders to repeat. Intercept... I don't know how to, there might be some really clever way that you can do it, but I doubt it. Might be a good idea to suggest to MM, but it would only be useful for Simultaneous turns, and would be greatly flawed unless there's some more AI work (wouldn't want your 20 ship fleet going after the decoy escort while the enemy 20 ship fleet slips in the back door).