Okay, I noticed this on Luttich. A few times, I had lined up a perfect shot on an enemy tank with my 'shrek and pulled the trigger, heard the sound of the weapon firing, and I'm fairly certain I saw the rocket leave the tube, but I was killed before the projectile made it to the enemy tank. The tank seemed to take no damage. When I respawned, the tank seemed no worse for wear and in fact was sitting in the exact same place, oblivious to my failed attempt to shove a HEAT Rocket up its tail pipe. This happened quite a few times, at least three that I can remember.
I also seem to recall it happening at least once with both the Bazooka and PIAT, but I'm not certain. I haven't mastered the PanzerFaust yet, so I tend to get very close to tanks with it, leaving no time to get killed while the projectile is in flight, so I don't know if it applies to the 'faust or not...