... and the missile warnings only trigger when one is first launched at you. If it is still coming and the obnoxious swarms also go kamikaze at the same time... well, you just don't get the warning. This hasn't been an issue for me in practice when the Interceptor missiles are thrown out because I avoid the ones from Medusa and Hydra (by baiting them to be launched outside a range where they could catch me), and so usually the range is sufficient to avoid Thargons as well if those come out at the same time.
If we're on the subject of enraged Interceptor kamikazes, I generally only witness those from the safety of several kilometers away while some NPC gets absolutely nuked. I would say 'poor NPC' but their idiotic flight capabilities and that Frontier has insisted on keeping Thargoid conflicts with crime reporting enabled (instead of disabled by default as with other CZs in the game, the logical thing to do) has just made me get annoyed at them repeatedly. They're not even good at fighting things other than Scouts and as soon as the lightest bit of caustic is on them they will try to get it off and keep heading away in a basically straight line (or nothing sufficient to throw off Thargoid targeting), so their decon limpet gets repeatedly knocked off and they will drag Thargoids off 30+ kilometers from a CZ in this idiotic pattern instead of killing the Glaive/Scouts which gave them the caustic and are now chasing their incompetent rear sides.