I can’t explain that phenomena I can only speculate.
If it was an asteroid made up of rock and metal, I can only say that it’s not an ideal compound for an explosion above the surface.
If it was the combination of frozen gas, water and dust, it then possibly could explode and vaporise due to the rapid heating.
But didn’t the researches dick for some thing like 10 meters into the ground to find the remains of that asteroid? I think that’s what I recall from watching one of those TV programs.