Here's a video (purportedly) of the "ICBM" missile strike on Dnipro (there seems to be some question about whether or not it was actually an ICBM or a shorter range ballistic missile).
The warheads do not appear to have detonated as noted in the comment at the website:
>>>It's worth noting that the multiple independently targetable reentry vehicles (MIRV) are not seen detonating on impact, leading many to speculate that the munitions delivered were actually inert. The reason Russia would choose to use inert munitions instead of arming the ICBM with non-nuclear tactical munitions is to send a clear message to not only Ukraine, but NATO and the rest of the world as well.<<<
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I had wondered if they might be nukes that were duds, but it seems like there would be reports of nuclear radiation by now if that were the case.
Ukraine as asked for a U.S. THAAD system, but it seems unlikely the U.S. would agree to supply Ukraine with one (the U.S. has very few of these systems, and the radar would probably "see" far into Russian airspace, which would probably further inflame the situation)(just my best guess, of course).
FWIW, Israel has successfully intercepted at least three Iranian missiles in space:
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