It’s strange, military smoke grenades that I know don’t explode, they simply produce smoke.
Maybe it’s a “flashbang” grenade, a less lethal device used to stun people prior to a forced entry. It is a common item for antiterror police units, or even the riot police. At very close range it can cause injury, but it’s rarely fatal.
The missing piece here is how it exploded. A grenade doesn’t just explode by itself. You actually have to remove the safety pin by pulling it hard. What kind of soldiers are stupid enough to pull the pin on a grenade and stick around?