Okay firstly, your cap didn't have the .capx extension so it looked like a dodgy(virus) file or something..
but i had a look anyway:
Use apply torque to rotate the rocket, not set angle (you need to disable prevent rotation aswell)
using set sprite position/angle in tandem with physics behaviour often fails because it's as if the physics object is teleporting constantly.
There seems to be some unusual bugs with the custom collision polygons, I had to set it to bounding box to allow it to rotate.
Make sure "set gravity to 0" is only on start of layout, not sure if this was causing any problems, but it's unneeded every tick.