I don't think I've ever changed my loadout to include them if they're not selected by default. I think they can be of some use against turrets on certain ships - no need for a lock, and as such flak throwing off the seeker head thing isn't an issue, just launch freely.
Of all missles you start out with early in the FS2 campaign though, personally it's only the tempest that I've purposely loaded up on during the later missions (dumbfires can be devastating when you're in the right place at the right time). So I suppose I tend to ignore rockeyes on the whole.
Edit: Oh yeah, forgot about nebula combat, they come in useful there too.