I think that actual weapons must be melee or ranged to count as something that can be exchanged. Grenades are in their own category, the same way special rules are or having the jump infantry or bike abilities are. It must be noted that unlike normal weapons that must always been shown on the model (a power weapon must be a sword or lance etc, or at least clearly explained to an opponent) grenades do not have to be shown and the WYSIWYG does not apply to them. This seems to mean they cannot be exchanged like a weapon.
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