The weapon works by converting someone’s magic supply into light. Magecraft
recreates natural phenomena and other things that actually exist. So the beam that it shoots out is made of actual light itself already, rather than 'magical light'. It’s even compared to a laser beam
here.
The divine weapon is directly called a directed energy weapon, and those weapons are lightspeed according to
this (7th page, bottom left paragraph). Heck, the Status Menu description as to how Excalibur works resembles rather closely how one operates.
An inferior model of Excalibur,
Caliburn, has been stated to shoot particles of light. There is no reason to assume Excalibur can’t do the same when it already creates light.
Any instances of it ‘exploding’ can be dismissed as a result of Excalibur’s beam being extremely hot and it superheating stuff (heck, its tip was noted to do just this: superheat the space around it): Excalibur is stated to be equal to one of the many beams of light of Goetia’s Ars Almadel Salomonis which can pierce the planet via sheer heat, and it vaporized an entire fortress-sized Cthulhu Mythos God and an entire river in Fate/Zero. Superheating stuff at fast speeds causes explosions/shockwaves. That’s how nukes, lightning, and a powerful enough laser weapon produce their shockwaves.