You might like to look at the mod's answer to that in the official forum. I added rules from UrbOps to that:
https://forum.frialigan.se/viewtopic.php?p=83750#p83750
Short version: UrbOps p. 19 has you answer for Close Quarters Combat. For regular combat, HE and frag hand grenades are aimed at hexes, so the wall is a penalizing feature at best.
AT hand grenades would be a different thing, since you need to aim it at a specific target. And yes, I'd argue, if you try to lob your RKG-3 anti-tank grenade against someone you cannot see, but are beyond close quarters combat, you'd be incredibly lucky to hit your target at all.