You're right. I'd hope that they would have more of an effect. It would have been great if they could have caused the rats to explode in the Thorny Tower instead of just confusing them like everything else in the game.
Sure, it was kinda fun to see how the different characters in the game react to the grenades/bombs, but then what?
It would have been fun if Raz had the power of Precognition but only for few seconds into the future. So if he were in a timed maze, for example, he would have to make spllit second decisions to go one way or the other based upon what he saw in the future. Sort of like a "Prince of Persia: Sands of Time" thing.
Confusion bombs/grenades aside, Psychonauts is still a helluva great game...