when we assign a route to vehicles sometimes the stops are too far away from each other and have to search the vehicle on the map.
would not be good that you can track the vehicle when starting it?
In the line schedule dialog click on the vehicle. A window pops up with vehicle information. Click on the picture and the view shifts to the vehicle. If you press the "follow" button, the view follows the car. Is that what you mean?
As soon as you create the route, assign a vehicle and close the window - if you click on the depot again, the particular vehicle(s) for the route(s) you've just created will pop up. Then as Combuijs said, you can click follow...
is something like the button "follow me" but at the vehicles inside the warehouse
Nah, you close the popup where you create the vehicles. It is a good idea to have the game paused. After you close the vehicle creation popup, click on the depot again. This time the creation screen won't come up, the vehicle(s) that you just created will.