Explosions are bad for you. In other breaking news, water is wet.
Honestly, the only way to do any kind of 'defense roll' like people keep yammering about would be to incorporate reflex saves as you see in D&D. But since that would require a substantial rewrite to the most fundamental portions of the rules, let's forget about that. If a new player is doing something potentially stupid, most GMs are going to do the "Are you sure?" line at least once, to get them to actually think.
Grenades and other explosives are high lethality, but also draw all kinds of bad attention. This isn't Counterstrike, where you can go buckwild and throw grenades like candy. And, honestly, in my experience most people who get carefree with grenades tend to get dead, very quickly, just like people who reach to the assault cannon when everyone else reaches for a Predator. Sure, geek the mage first, but the guy with a bandoleer full of grenades is going to be a very close second.