A very small percentage of the worlds in the galaxy will be black holes. If you are so unfortunate as to send a fleet to a black hole, or attempt to move through a black hole to another world, all of the ships on the fleet, and any metal it was carrying, will be immediately destroyed. The empty fleet key, being indestructible, will reappear on some other world at random. Any artifacts the fleet was carrying will similarly be scattered randomly throughout the galaxy.
If you probe a world, you will learn whether or not it is a black hole.
You should be aware of the danger of black holes, but do not be overly paranoid. Usually it is better to send fleets boldly into the unknown, and take the chance that you might be sending them into a black hole, then to spend the extra turn required to probe each unknown world first.
Your homeworld will never be directly adjacent to a black hole.