What happens if the drones themselves come under fire? What can they do to escape? Is that where the active control of drones comes into play?

It's sort of similar to if you as a ship came under fire. They don't have weapons, they don't have countermeasures, so their best defense is to get back within range of the Vulcan, and then you swap from controlling that drone to go dock back in there, get back in your hatch, and once you've programmed it to do that, swap over to the turret and start engaging whatever was shooting at your drone.