Welcome aboard Gezur(Arbeit)
As Gezoes says, it was quite common for capital ships to be part of convoys early in the war. The problem was that Britain had a limited number of battle ships and, after the loss of HMS Hood, tended to smother them with covering vessels. This was disproportionate for their value.
Plus, even though the Bismark was no longer, the RN was obsessed by fears concerning the Tirpitz - not to mention Scharnhorst and Gneisenau. So, later on, they kept most of their heavy-hitters close to home, so as to be able to meet any threat the German big ships posed.
On the Russian convoys, it was common for the convoy escort flagship to be a Heavy Cruiser, when available radar-equipped, and for there to be at least one escort-carrier to see off the Condors and to provide some protection in case the Tirpitz sailed out of Norway to intercept.
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