Grenades are not sent to all players by default when creating a new character.
You must proceed through the new player experience upon creation of any character by pressing the "T" key and completing the tasks under the following selections:
- Movement and Actions
- Mail and Inventory
Once you have completed all the listed objectives, the grenades should be sent to you in the mail.
If you still believe you are missing grenades, contact customer support and we will take a look at your issue.