I bet Aerodrome can answer that better than I can. I never gave it any thought until you mentioned this.
My best guess is it depends upon the type of attack. The only times I recall it not exploding when it hits a hitbox is when being chucked at another projectile that can be interacted with such as bombs, boomerangs, arrows, etc. Stuff you can attack, and induce hitlag on. Lasers for example are not something you can induce hitlag on with your own attacks, so grenades simply explode on it.
I cannot really recall a time where it did not explode on a tornado however. I believe the the tornado hits every few frames, so it might be possible to chuck it, then bounce off MK while not hitting any of the hitboxes when they disappear. But I am probably wrong on this.
Check one, dealing with toon links' ledge stuff. Particularly the drop down grab bomb, and throw it up. I'm not sure what do do against this. I feel like I have to hard predict a response from TL such as run off and 2nd jump Bair. I thought of grabbing the bomb when thrown up, and pitch it back down to him. But the knockback is pretty pitiful and doesn't do much I feel. Any ideas?