Pocket Rockets have a minimum range to explode - 20m. When you're zoomed in with any of the Assault kit rifles, you can see the distance as the little number under the central sights. I think it's there on the zoomed in pocket rocket sights to. When you are zoomed in, you can scroll to set the distance the rockets explode at. It's how you kill people hiding behind walls - set the distance slightly over that of the distance of the wall, and aim around the wall. If you point at a solid object and zoom in with the rockets, it will auto set to the distance of that object so that you only need to make a minor adjustment.
Try it. It's easy! Ish...
As an aside, I think that if you hit a person and the rocket doesn't explode, it still hurts... I think. I know it damages consoles if they don't explode, so meh...