An EMP charge would require a power source and power sources are normally volatile!
Freeza mentioned a capacitor (and I had thought of this when writing my original post also, didn't have the time to describe in detail). A capacitor gets charged before detonation (perhaps at launch or inflight). Now to how a capacitor is constructed -- in its simplest form, it's two pieces of metal separated by a dielectric. This is not "volatile" in itself (we're not talking about chemical reactions like in a battery, as a capacitor is not a battery. Point being, it can't explode).
I can think of other power sources as well that are not volatile (which probably aren't very useful or applicable in this case, but I include them here anyway for the sake of argument): wind and solar power to name just a couple.
Is it a LAW that the missile has to be completely vaporized and did I ever directly say that the laser alone could destroy the missile? I said the combustible fuel if there is any and if not then the power source for the EMP charge could cause a secondary explosion.
If you don't totally destroy the missile, what happens if it slams into whatever its intended target is? (It's going to do a lot of mechanical damage, considering we're talking about a rocket that's many times the size of a semi-truck). You have to cause it break up into small enough pieces so that it won't cause significant damage to anything below.
(One possible method would be to eject a small module containing the actual warhead, leaving the rocket to burn up in the atmosphere. This would also remove the problem of "volatile fuel" explosions or similar).
With regards to the transformer comment, in an ideal transformer power is constant (keep in mind that power = voltage * current, a transformer changes the voltage of an incoming current -- in simple terms, if the voltage increases, the current must decrease). Of course, in the real world, some power is lost due to resistance within the inductors, leakage flux, etc. but the same general rule remains. You still have the same amount of power (or slightly less) after passing current through the transformer.
By the way, the HERC (the weapon used in the meteor defense) was a particle beam if I remember correctly, which is totally different from a system using masers (focused microwave radiation).