Feature: Dioxine doesn't like the idea of people "farming" supply ships. So although they are crewed by low level units who are relatively easy to take out, there are also 1-2 terror units, they are equipped with particularly devastating weapons and their engines have this capability of exploding, so after 20 turns kaboom!.
If you shoot them down, you will likely destroy the engine so that gets rid of the explosion risk, but that also gets rid of the main reward being the engine and nuclear fuel. The weapons are nice to have though, as they are high quality, devastating things. But overall, if you want to farm supply ship, you need to design a very specific strategy (likely involving dogs for expendable scouting, snipers for taking out enemies from far away, and boarders of some kind who can face the onslaught or are expendable enough you don't care.. maybe dogs for boarding too.. Too bad there's no kennel ship!)