In the ten years I've been playing the game, I've had it happen three times that I can remember, and that I know of. Once in stock, on the surface, and I had no idea it could happen then. For the life of me, I couldn't figure out where that torpedo had come from. Saw it from the bridge, just couldn't believe the game had something else that could shoot one at me... Once in TMO, also on the surface, and while attempting to get out of it's way, I actually ran into the torpedo... I would have been best off staying where I was. And now once in Fall of the Rising Sun, Ultimate Edition, just a few weeks ago, at periscope depth, and I wasn't paying attention. I heard the screws myself, but I was intent on watching the torp impact the ship I'd shot it at... Instead, it "impacted" my periscope. I was using the "proximity fuse", and it "proximated" just above me... I had a heck of a time getting the sinking under control, finally getting leveled off at about 3 and a quarter. Survived it, only to get slammed by every DD within an hour's travel time of where I was... I think there probably was like 6 of 'em up there, taking turns at dropping cans on me... Nothing like the detonation of your own torpedo to give your position away...
I could have sworn though, that the crew used to warn you of a torpedo coming at you, but maybe I'm thinking of a different game...