When using custom firework rockets as a weapon for your crossbow, they behave in a bit of an odd way. As shown in the video below, shooting the firework rockets at mobs will cause the rockets to go through them. Not only that, but shooting them at blocks or the ground, causes the rockets to slide alongside the blocks, and not explode on impact as it should like in the Java Edition.

I'm assuming this is a bug or missing parity feature, so hopefully it will be fixed it the future.