If I park my capship outside of a station entrance at just the right distance, incoming convoy ships will "disappear" inside of my capship rather than continuing past my capship and into the station entrance.

This usually happens when the convoy ships are turboing toward the entrance, before they cut turbo and make the fine adjustments to get into the station entrance.

This has no practical consequences as far as I can tell, other than looking ridiculous. However, I wonder what would happen if a player were escorting a convoy and one of the convoy ships docked in my capship rather than at station.

Once the npc docks to anything, they are considered docked to the station. So for gameplay it doesn't affect anything at this time.