Two points.

1st, they weren't designed to explode if they missed, they were designed to explode to increase the chance of a hit. Early in WWII, you would have to estimate the time on the fuse by hand, which could result in early, or late detonations. The British invented the VT fuse (British invention, American development). This used a small radar device to detect nearby targets, saving the crew from having to guesstimate what to set the shell to, and remove that step from the loading process.

These shells were a closely guarded secret, and for a large portion of the war only saw service with the navy, on the off chance an enemy might stumble across a dud. From what I understand the first big use of them on land was at the Battle of the Bulge, replacing the fuses in howitzer shells.

Point 2: A large portion of AA weapons were located in friendly territory. As it says in science: "what goes up, must come down." So VT fuses frequently had a second fuse to destroy the shell before it could come back down and blow up some poor guy's house.