I'm asking because if I have to turn it off for all trains I have to add 'go-to-depot' to all trains' orders and I'm lazy and just want to do it for the problem area's
Really, the time to add depot orders is when setting up a vehicle's orders prior to it leaving the depot for the first time.
Unless your network is exceptionally simple or servicing is disabled entirely, (in my opinion) you should never let vehicles (with the exception of aircraft) run without at least one depot order.
Really the game should warn about this in the same way as it does for vehicles with no or insufficient orders.
Also, how would trains react after a breakdown. Still go to the first nearest depot or wait until the visit the designated deport
They would wait until until reaching their next service at order, and then head to the designated depot.
Vehicles heading to depots of their own accord is the key thing to avoid.
And finally, I tend to use double depot's which helps so one train can enter while another leaves the depot across from the track. Is there a way to set it so the order is visit depot X or Y?
You can use "service at nearest depot orders", however under most conditions you are better off simply distributing more depots around your network and giving each train multiple service at depot orders. This way the average utilisation of an individual depot is lower, and the time between a vehicle needing to be serviced and it reaching its next service at depot order is also shorter.