It can also send an enemy down to the ground floor from the rooftop, inflicting fall damage or killing that enemy outright.
Grenades can destroy walls and floors that can leave enemies vulnerable who no longer have any cover to help them, or assist in blowing up vehicles that enemies are silly enough to hind behind. On top of that, they have a variety of uses beyond dealing fixed damage to a group of enemies. You may even want to place two or three grenadiers in your team once you have a squad of six available members.
Given that many missions only give you a limited number of turns, definitely take as many grenades as possible. Not only are they one of the few items that you never run out of in your overall inventory (a squad member can still only carry a few grenades into battle), but they always inflict damage so you don't have to worry about missing like standard shots.