Is it possible that the fleet you wanted to attack was stacked on the same hex with some other ship not in the fleet? Then the explosion could have been the hidden ship, as there seems to be no way to select which ship/fleet you want to attack in that situation.

I have noticed something similar aswell - I order my ship to attack a 'single target' and get the explosion effect but the target remains. After a few times it becomes obvious that there are 'stacked ships' that are not fleeted on the same hex space.

There is a small counter on the right side of the 'target' box showing how many ships there are, but that only shows up when I zoom up to view locally. It would be more usefull if they are indicated/tagged on greater distances since I obviously can detect the initial ship.