So once again the issue that was NEVER fixed in Fallout 3 has carried into New Vegas. In VATS one of the things you are usually able to do is target thrown grenades and blow them up while they flew towards you. Unluckily this problem was never fixed and so I am now a sad gunslinger. The original issue in FO3 stemmed from what seemed to be an issue in the .EXE file for FO3 and I believe the same must apply to New Vegas. For further info on this from FO3 the issue started happening after patch 1.1 and has not been resolved since patch 1.7 (and probably will NEVER be resolved). As for New Vegas I am HOPING this gets patched in any of the future patches and hoping the info I have given has given some clue.

Depending on how Fallout: New Vegas' code is based on Fallout 3, I'm guessing a lot, you may never get this fixed.

Considering it magically broke with the first patch, it could be intended all along that you couldn't shoot down missiles/grenades in flight.
And that it was a bug that allowed you to shoot them down in the first place.

Now that's possible, but the only way to make sure it's a bug that you can't target them, is to ask Bethesda itself. Whoever on this forum that worked on Fallout 3 should be able to tell you.

That said, shooting down the missiles/grenades would make the game humorously easy.

Somewhat of a good point but then again saving your butt helps too when everyone is throwing grenades at you. Also most grenades would be past your screen before VATS could target all of them and even if a grenade is on screen VATS might not register it.