Right. A difference in energy doesn't make things explode. If a hot gas touches a cold gas of the same gas, it doesn't explode. Same goes for liquids and solids. Besides, Covenant plasma torpedoes are significantly more powerful than 2 MJ, and even 8 MJ. Pulse lasers are used on frigates which have about 60cm of armor. Destroyers have 2m of armor, and some ships have up to 10m of Titanium A armor. While Titanium A is a fictional armor and likely far more tolerant to heat, I did a quick calculation. A pulse laser melted through 45cm of armor on 2 different sections in about 2 seconds. I assumed that these two sections would have been melted in AT LEAST a 1 meter radius around the point of impact. This argues for at least 3.7 GJ every second of activation. This would go up if the radius of the melted area increased, the area was actually vaporized, or if Titanium A has a higher specific heat capacity and molar heat of fusion and/or molar mass/density than the actual element Titanium, and it most likely does. This power output is for a pulse laser used against frigates. Plasma torpedoes are likely far more powerful. Some sources say that they are high megaton or low gigaton for ship to ship battles, and as much as low teratons for orbital bombardment. If that's true, 100 MT = 4.2x10^17 J or 1.2x10^14 MJ, and 10 GT would be 4.2x10^16 MJ. And even a 1 Teraton plasma torpedo would release 4.2x10^18 MJ.

Since the humans are capable of sending off 5 TT projectiles, it would make sense that Covenant plasma torpedoes would be in a similar range, perhaps 500 GT or so. Even 200-350 GT could still be considered low. 350-500 GT could also be considered to be low, as they are less than half-way through the GT spectrum; but I would probably classify 400-600 as medium.

However, you still haven't explained why it would explode. An energy, or even temperature difference would not cause it to explode. It seems possible that since the Covenant extend their magnetic fields perhaps 75,000km past the front of their torpedo tubes, and the Empire doesn't appear to, the charged particles that form the Empire's turbolaser blasts would come into contact with the Covenant torpedo, enter the magnetic field, and be redirected towards the Empire ship along with the Covenant torpedo.