You can use the buttons "stop storage" and "take out of storage" to control where items and soldiers are stored (look just above the next page button in the harbor/storehouse/hq).

And yes, Settlers 2 has some weird coding that sends soldiers to the harbor, even if it is at the other side of the continent. You can stop this by setting "stop" and "take out" on each soldier type for every storehouse, headquarter and harbor except where you want them. Even the soldier-producing storehouse can have these settings enabled.

But make sure your soldiers have somewhere to go, and you might have to allow soldiers to your harbor to occupy distant guardhouses and so on.

edit: I see now that you have tried controlling where they go. If nothing else works try reloading a savegame and build another storehouse close to your borders, I have had bugs before in games with harbors where all storehouses simply refused to accept soldiers (no matter how I configured them) until I built a new one.

Thanks for the response! I did build a new storehouse as close as I could to the battle zone, and used the controlling on each other storehouse/harbor to ensure soldiers don't go there. But, they still keep on going there for some weird reason. I'll try to load up again and build another new storehouse.