In the last couple of updates that made a trajectory path change that I believe is pretty realistic, actually. These missiles are designed to intercept ballistic missiles which mean they are well above the ceiling of most missiles. Therefore, the normal flight path for them appear to initially be straight up, and then they make a turn, just as you described. I actually think that it is quite clever on the part of the programmers.
In short, I believe that they are working exactly as they should. Did they still shoot down the incoming missiles? Again, they are designed to attack with a deck (bottom altitude of 100 kilometers (330,000 feet). There are many versions of the Dong Feng, and I don't know which you are talking about. But, if they RIM-161's aren't attacking, then it might be that the Dong Feng is likely beneath the deck. But, if they are destroying the Dong Fengs, then everything is good.