Part of the OP's issue may be that planes sometimes intercept without any notification of doing so.
In G&K, I always saw "Your Triplane has intercepted a _____ for X damage" after the turn where the interception occurred. Now, in at least one game I distinctly remember having triplanes or fighters in a city that enemy planes attacked and noticing that the enemy city had a lot fewer planes after the attack, yet there was no indication of any interceptions whatsoever. Thus, the OP may be confused because his planes are actually making interceptions without any feedback saying so.
Maybe they moved where the interception notices appear, but I am pretty sure I've noticed that planes will intercept as they should yet not notify you of this whatsoever since BNW.
It may even be intentional: sometimes, if I made a lot of interceptions in G&K, getting a separate notice for each one made for a lot of clutter on the screen. Maybe now there's just a single notice like "You have made interceptions of enemy aircraft this turn" and I'm just not seeing it.
But I do think interceptions are now occurring without a notice for each individual one, in the very least.