I've been playing around with grenades and, as Chabbrik mentioned, they are really a little weak-sauce considering their drawbacks.
Currently they use inventory and are single use items. They have limited range and radius. Their damage is pretty low (guns are more effective).
So, there isn't any real reason to switch off of a gun to use a grenade.
However.... I've only seen the IED MK I and Incendiary Grenade MK I.
They may be intentionally too weak.
Is there a way to do something like: Double damage to the square it lands in, normal damage to the squares around it, and then half damage to the squares around that.
Even with that, the damage is still incredibly low (but again, that may be intentional).