What do you mean it goes into the dock?
Apps only get added, to a maximum of 10 apps, when you explicitly save it in the dock.
Currently I'm not aware of any way to clear apps from the app history. There is no AppSwitcher like we're used in iPhones and iPads. Just the double tap on the Digital Crown which only opens the most recent app.
I've noticed that when I open an app and then exit the app if i hit side button it shows the app in the dock & im asked if i want to keep it in the dock. Theres no way to remove it instantly with a swipe or press of a "remove" button
Yes, this is normal behavior.
The dock allows you to access 'docked' apps as well as the most recent app quickly with the side.
I agree that it would be ideal if upon pressing the side button it started at the very first docked app. Until then we will have to manage with the current behavior.