That hasn't been my experience. The siege weapons usually have preset positions they want to take and travelling there may be causing you to think they're not escorted.
Wanting to get units to preset places would explain an odd behavior I've seen in wars between AIs. The AI descends on a city with a huge army but instead of attacking its units just seem to mill about for several turns. The AI needs to be told, if you have an overwhelming force, just use it.