There isn't an engagement concept that I've run across. The rocketeer is free to continue moving past an alien with any additional AP on that turn.
Edit: actually, the engagement you describe is mentioned in the Admiral difficulty level variant on page 16:
a Rocketeer entering a tile containing a non-Stunned Alien cannot spend a Move Action to leave the tile without rst spending an Action either to attack or make an IQ Action roll against an Alien
Needless to say, I haven't played with this harder variant yet