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Usually I would use all light because light has faster travel speed and is cheaper to maintain. I would consider using heavy if I'm sending them to circumnavigate the global as they can withstand more attrition.
it removes the ability to explore the ocean freely, you can only do so via exploration missions and those are capped by your colonial range. BUT it's automated and your ships suffer no attrition while on most missions (except Circumnavigate the globe).
Generally you never use heavies to explore as there's simply no point. They're incredibly slow and stupidly expensive in both upkeep and sailor upkeep.
once you've explored you can send your transport fleets manually to drop off troops. (troops in america led by a conquistador also get the ability to auto-explore though it's not required to do so though you do have the potential to get some interesting exploration events for doing so...or kill your conquistador repeatedly)
For that you either need Quest for the New World (2nd idea of Exploration ideas) or certain national ideas allow it as well (like Norway can recruit explorers with one of their ideas).
The mission tab is one of the many buttons on the fleets page