In French, we call this "la courbe du chien" (~"the curve of the dog", sorry i can't find any good translation) .
The nose of the dog/fighter/rocket always pointing to the target instead of the future position.
To me, it's seems to be a too big modification from vanilla to give such a sophisticated capacity to XCom interceptors, but what could be really cool and maybe not a too big work would be to allow launching interceptors with multi-point orders (like the blaster trajectory) so we could give at least one fixed point to the fighter before heading for the ufo.