I would probably expect that to happen too and be confused and perhaps even drown my hero and get irritated over stupid functionallity.
But once I knew how it does works I'd try to figure out some use for it. Perhaps it needs its own popup when flying away from the hero so people know what to expect. If we are to keep it this way. Some water symbols could help too, but I think a popup is the only way to make people understand (which 90% will click away without reading).
Well lets say what you suggest happens, the pegasi takes of and the hero is left to handle the ship, shouldnt you all of a sudden have one unit less. I mean if you can see the hero and the ship but they are the same unit. Either you should lose a ship or keep both but when you move the ship the hero automaticly goes along, or if you move the hero the ship will move along with the hero .