If you think about it. Her ult has quite a bit of range, and is not to be used mid fight...it is to finish off oppenents that are running away. It is your job to set up the shot. It's not supposed to be easy, and from what it sounds like, you just want it to be an insta-kill as soon as it locks on, which is exactly the reason that Riot made it blockable. Can you imagine being able to kill anyone you wanted just by locking on. It would be dreadfully OP.
As for going through opponents, what if more than one person would have blocked the ult, does it deal damage to all of them, if so then it is just a more powerful version of her Q.
On top of this, IMO she is one of the best harassers in game due to her range, which I believe is second to a Trist a lvl 18. Still, stack that with proper use of her passive means you should either have the other team completely zoned, and your farm should be quite high.
IMO the key to her ult is the timing, and setup. Don't fire it if you know it will be blocked...easy as that. Make sure they can't see where the shot is coming from if you can. Her ult is better use as a pick off ability, than a I'm going to shoot this in a team fight. That's not what it was intended to do so don't talk like it should be.
My overall advice is that if you are having trouble with Caitlyn then you need to evaluate how you play her. Lane phase is really about zoning and farming. It's quite easy to harass the other team. From there it is setting yourself up for the oppurtunity to utilize your ult properly. Gank mid, if you've gone back and your lane is ok, go gank a lane with an enemy champ at low health. Utilize your ult to pick people off when they least expect it. Also, wards are your friends since they give you more sight to be able to land it when you want to.
Hope this helps.