Well, you can assign certain structures a control group, and when you select that group, it will take you to the planet that structure is one. But that isn't ideal for anything but your ultra important stuff (like your home command station) as it eats up your control group slots.
In terms of what you are asking, no, there is no "next planet" button. Possibly because there for most of the game, there are many planet you don't have a presence on nor active visibility on, thus you will scroll through a large number of planets you don't care about quite a bit.
As you hinted at though, this could sort of be solved by "filters" (like several commands, one, switch to next plant, the other being switch to next controlled planet, and maybe even one more meaning switch to next controlled or allied planet, or something like that)
This would actually be a nifty suggestion for Mantis (the bug/feature request tracker):
http://www.arcengames.com/mantisbt/
