This is a funny idea, and I implemented it in the mission "The Prey" (should still be available in the mission depot). It doesn't work as you expect though; detecting SAMs and other missiles works using the "incomingMissile" eventhandler. This eventhandler can only detect guided weapons, i.e. weapons that can lock a target. The handgrenade is unguided though. I solved this problem with a small scripted loop that uses the "nearestObject" command to find if there is a handgrenade nearby the soldier.