The aim of the present paper is to contribute to the development of the study of Cauchy problems involving Riemann-Liouville and Caputo fractional derivatives. Firstly existence-uniqueness results for solutions of non-linear Cauchy problems with vector fractional multi-order are addressed. A qualitative result about the behavior of local but non-global solutions is also provided. Finally the major aim of this paper is to introduce notions of fractional state-transition matrices and to derive fractional versions of the classical Duhamel formula. We also prove duality theorems relying left state-transition matrices with right state-transition matrices.