It can and will do the same thing. Any rocket launcher with tracking will do it if an enemy dodges out of the way and assuming there's enough space (ie: outdoors). However, Gjallerhorn is unmatched in DPS as far as launchers and most other weapons go. With that said, I'm leveling up Truth until I get Hezen's Vengeance from the raid as I'd rather be able to carry 8 rockets and Icebreaker as my exotic.

Truth will never do that because it will explode if it is near the target, alas.

Not exactly true, if you're firing at an enemy in the distance and he dodges when the rocket is far enough away and it doesn't pass any other enemies it will in fact double back and start retracking. But you're correct, if the enemy dodges and is within its proximity it will not double back and instead explode. Edit: As an example, you fire at a Minotaur by himself and he teleports outside of its proximity range, it will continue tracking until it gets within the rockets blast radius.