Unless you can destroy the chest, unscrew the lock from the chest, take the hinges off the chest, or somehow use magic (there's many options) to open the chest and-or get the grenade out.
Or unless (if you have time) you go and find a better lock-picker.
Or unless you can find another way of dealing with the monster that doesn't require the grenade.
Indeed. Mission failure is always an option.
I'm thinking the bad design is that the chest that can't be smashed open because it will cause the grenade to explode or something.
Like I said, I've never seen the check failing game ending boogeyman so I'm grasping at straws man.