It seems like a noob trap that they even let you not sponsor a shipyard at all. It seems like planets should just auto-sponsor the closest shipyard on their own, why make it a choice when it's not even a strategic decision anymore?
This may be true depending on your map settings--but the way I play, generally, shipyard placement and sponsorship is a strategic decision.
I play with planets pretty sparse, and I operate very few shipyards until mid to late game. As a result, I shift shipyard sponsors based on which planets give the greatest value. Some of my planets do not sponsor a shipyard because, for instance, I'll have 12 planets and 2 shipyards, so 2 of those planets aren't doing anything with their military production...
Also, you can change sponsors to affect the starting location of trade ships, which I find useful.
That said, I wouldn't be opposed to an auto-assign of the highest production value (not the closest 5 planets as proximity and production are not always equivalent) as long as there was an override.
I see such a feature as being problematic, though, because if you told the computer to optimize your shipyard sponsors, it may attach a sponsor to a shipyard that is not strategically located but gets the highest bonus.
For instance, if a planet would give 23 military manufacturing to its nearest shipyard but 22 to another, you might prefer it send the 22 to the other shipyard because of the location of that shipyard (closer to an enemy or more important to defend).
Or, you might want to sponsor a more distant shipyard to even out their production capacities. Say, for example, you had a shipyard with 5 sponsors that had 200 manufacturing total and another with 5 sponsors and only 55 manufacturing. You may want to shift production that would be "best" at the more productive shipyard to the less productive shipyard, say by trading a 50 production sponsor with a 5 production sponsor. Even if you lost a little due to distance, you might end up with something like 101 production and 153 production at the two shipyards, which may be strategically important.
I guess what I'm trying to say is, there is still strategic value to paying attention to what planets sponsor which shipyards, and I wouldn't want planets auto-assigned to my shipyards.