After alenium or plasma weapons are discovered, it is not possible to change the default projectile of the rocket launcher. It always starts with the explosive rockets.
It is not possible to change the rocket in the equip screen.
If I select an alenium rocket, and try to load it in the rocket launcher (primary hand), the rocket will be put in the hand and the rocket launcher will go back into the inventory list.
There is no way to load the alenium or plasma rocket as default in the equip screen.