Check your DP file to ensure that it is properly set up with Gunstation information for bombs and rockets. If these lines are not present, or if the number of allowable bombs/rockets is set too low, then bombs and rockets will display on the aircraft but instantly vanish once released or fired.
If it will help, copy the gunstation section of the DP in question and post it as a txt attachment and I will take a look at it, unless someone else with DP savy beats me to it.
OBIO