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Daemons of Slaanesh have rending. Soul Grinders of Slaanesh can shoot, and various options allow for shooting. Do their shooting attacks rend?

No, the rules for Rending make this quite clear:

"If a model has the Rending special rule ... there is a chance that his close combat attacks will strike a critical blow. For each To Wound roll of a 6..."

It's very clear that a model that has Rending only rends in melee, for a ranged attack to rend, the weapon itself must have Rending.