Matrix rotMatrix = Matrix.CreateRotationZ(rocketAngle);
and I just don't understand why do we need to create a rotation around the Z axis instead of the X axis.
Reimers Angle to Direction
Matrix rotMatrix = Matrix.CreateRotationZ(rocketAngle);
In the tutorial, the rocket is flying in the X direction.
So, to make the rocket pitch up and down in that direction, you need to rotate AROUND the Z axis.
This little picture might help (Link)
Notice how rotating around the Z axis will make the rocket pitch up or down in the X direction.
If you rotated around the X axis the rocket would just spin! (or something close enough to that for this discussion)