Sounds like N. Atlantic Convoy, and the missile is an AS-4 Kitchen.
There are a lot of things going wrong that make this happen.
1. DW doesn't calculate lead very well for anything. This affects guns very badly.
2. The AS-4 is supposed to be a high-altitude weapon, but in DW it cruises below 300 feet, making it hard to detect on radar. It's 'normal' in DW to get hit by an AS-4 before detecting it on radar.
3. The AS-4 acquires its target from dozens of km away, but in DW all missiles have the same 10 nmi seeker...
4. ... compounding this problem, ESM sensors are set up so they won't detect missile seeker emissions outside the 10 nmi a seeker can acquire a target. So it's 'normal' in DW to get hit by an AS-4 seconds after detecting it on ESM... and before you're able to deploy chaff or fire an SM-2.
5. CIWS really can't handle super fast weapons like the AS-4 anyways, by the time it's in range it's already hit you (and even if you hit it, it still hits you--inertia is a bitch). The Navy devleoped the SM-2/AEGIS system for high altitude supersonic threats and the ESSM and RAM SAMs for low altitude threats. DW's CIWS more or less represents this in the final outcome, although the simulated mechanics leave much to be desired.
The good news is, LWAMI 3.10 corrects 2, 3, and 4. You'll see the AS-4 coming from 50nm+ on radar and get it on ESM the moment it enables. It's a sucker for chaff once you get early warning.
Sorry for the plug.
