Concussion grenades are significantly less deadly than a fragmentation for exactly the reason I said, shockwaves aren't as lethal as shrapnel. You just have to look at a gun to see that the projectile is far more deadly than the shockwave that propels it; air is pretty poor at conveying force. I suspect Sacrosanct is thinking of the episode where they fired a shotgun into a barrel of water and killed all the "fish" inside with the shockwave due to water being much better at conveying force than air.
This is completely inaccurate.
One, not all shockwaves are created equal. (Shockwaves and fragmentation have too many variables to make a blanket statement that one is greater than the other.)
Two, not all grenades have the same amount of explosives or explosive force.
Third, environmental factors play a significant role; such as concussive grenades being far more effective in an enclosed space than a fragmentation grenade.
Fourth, as @
Sacrosanct said, a bullet is projected by concentrated explosive force; grenade fragments are not and are only lethal for a very short range (depending on the grenade, from 2 to 10 meters maximum).
Lastly, shockwaves - even small ones, but especially large ones - can be incredibly lethal with little external indication. For instance, many casualties of suicide/terrorist bombs often show no outward injury at all (specifically, no projectile wounds), but x-rays show a completely uniform color rather than internal structures (like a white fog) due to liquefaction of tissue and organs (Israelis see this a lot in blast casualties).
In the example of fish in a barrel: yes, water can transmit a shockwave better than air due to its relative incompressibility, but the bigger factor in your example is that they were in an enclosed space that concentrated the blast - the barrel itself. If they had been in an open body of water, even with proximity exactly the same, lethality would have been significantly lessened.
Anyways, I'm not sure where you're getting your information from, but just so there's no confusion as to veracity or credibility: I'm a retired NCO of 21 years - Air Force, and my AFSCs/positions were aircraft maintenance/avionics technician/flightline expediter - but my last ten of those years was in AF Special Operations and Combat Search and Rescue. I have 21 years of UXO training, specialized training in aircraft/helicopter demolition (necessary to destroy damaged/crashed aircraft and sensitive components in-place to prevent appropriation by enemy forces), worked side-by-side with weapons and EOD personnel - as well as operators (TACP's, PJ's, and even a former Marine sniper) - and served in multiple combat zones. My knowledge and experience is first hand.
Though none of this has to do with D&D or Thunder damage; so, I'll end my participation in this part of the conversation here.