My fleet enter IA system then a pop up appearI chose to be redirected to the closest systemAnd pouf i'm teleported instantly far away, on the closest sysem where i have influence. The pop up stated the closest system (not mine) which would seem right, but the game made my fleet teleport far away which i found very disturbing. I cant believe it is developed like this on purpose.

It happens every time and it's quite disapointing.

Feel free to give me feedback on this

Yes, it is by design. If you agree to leave influence zone of another empire, you are moved to your closest system (although hint doesn't mention it explicitly). In your case, your system is at outpost stage.