Hmm, I can only think of three reasons for this.
1. You are firing it at a friendly ship. The arming sensor only arms the warheds if it sees a neutral or enemy ship within 50m of the torpedo. This is to ensure that friendly fire incidents are a little less catastrophic.
2. You're not arming it. As I recall, pressing 4 arms everything in addition to tripping the separation sequence, so if you're not triggering that, the arming sensor never enables.
3. You're being screwed by KSH (as are we all). A glitch that myself and others noticed a while back is that for some reason, if you put enough of them in one place and throw them at something really fast, warheads seem to just bug out in such a way that they cannot be detonated.

I hope this helps! I would hate to have my best weapon yet gutted by KSH's incompetence, but it's not out of the question.

Not sure if Im messing something up, but the warheads on the main body aren't detonating.