Whenever you attach an explosion to an arrow, the arrow will not longer "stick" into objects other than NPCs. If you hit a piece of wood, a rock or anything else it will simply disappear. This means arrows can no longer trigger traps and the like. How to fix this? Is this a bug or another amazing "you'll always want this to happen" feature of the CK?

How did you attach the explosion to the arrow? Script or Enchantment?

The projectile has an attached explosion.

For your locational damage mod/headshot mod, have you considered the gethitlocation condition?

I don't know if it works, but maybe you have tried it and would love to know myself. Might be worth investigation.

Maybe it needs Impact data?

I think this is another "you'll always want this to happen" feature. It make sense. If something's going to explode, you don't expect it to still be around afterwards.

If you really want to keep the arrow around, edit the explosion so that the "Placed Object" points to your arrow.