I built two supply wagons in Moscow, and ordered them to move to Kursk and build a depot there. When I went to the next turn, I found they'd built the depot in Moscow instead. In other words, the 'Build Depot' command happens before the 'Move' command, making the move orders irrelevant. (And also meaning that my advance into the Ukraine will be delayed for another month.

I don't have a problem if that's the sequence you think works best for the game, but a couple of interface changes might make things easier for newbie players:
1. If you give a force a 'build depot' or 'build fort' order, it should not be possible to also give them a move order simultaneously. Clicking 'Build' should cancel the movement orders, and moving the unit should cancel the Build order.
2. Or at least, how about a message or tooltip saying "Depot will be built in Moscow", giving me the chance to see it, say "No, I want it in Kursk!" and cancel the build order before it's too late?