A smack to the face with an HE rocket should kill an unarmored alien footman outright, light alien armor shouldn't fare much better. Once you get into the medium and heavy grades, even a direct HE should have enough force dispersed or otherwise managed to allow survival in most cases. This is why the aliens are so feared; their heavy infantry can shrug off even the nastiest anti-personnel weapons and keep on coming. Concentrated fire and/or anti-vehicle weapons should be needed, and letting the player be aware of this adds a little to the ambiance of desperation.
AT rocket on a light alien would be a little overkill, but against heavier enemies, especially once alien 2x2s appear in later releases, it would become more appreciated. Also, should environmental destruction finally make a stand, putting a tunnel through a house to impale the alien on the other side might not be so bad...
The IN effect is something I would love to see implemented as well, especially after the awesomeness that was X-COM Apocalypse's fire. Some maps in that game could be burned out almost completely. Mind you, I don't expect UFO:AI to be quite so flammable, but some area-denial would be nice.