"Rocket Boy" might have been something insulting.
Exactly. And what makes it more effective is the fact that it is just mildly mocking. It's not over the top like "pig-rat" or "coward-dog" which is what people who have no real power would throw as an insult, making up for in vehemence what they lack in ability to actually intimidate.
Mild insulting is more subtle. It conveys the idea that there is no real anger or fear behind it, as if a very dominate male was addressing an inferior for which he has not the slightest concern.
It conveys more condescension than would a more extreme insult.
It is a new experience for Kim Jong Un, and it undermines his authority if people in North Korea hear about it, and of course he is going to make sure they won't. But it rattles him.