They do completely stop when they run out of fuel. They self destruct because they are useless without fuel. You can't recover them as the fuel storage are built within the missiles, and getting to the tank would mean taking the missiles apart. Some nasty things could happen when you take one apart. I think the "fluff" here is similar to which the UNSC can't really take apart slipspace drives, because they could go critical and some strange things occur (including people vanishing from existence when playing around with one).