The rocket is very careful to keep the oxygen and methane separate. To make the tanks explode they'd need to spend a lot of time mixing them, which isn't good enough for a self-destruct. It would also behave differently in different parts of the flight. The equipment to do it would be big and heavy as well.

Instead, they use explosive charges because they're lightweight, reliable, and quick to detonate (last launch notwithstanding, because of a design problem)