I’ve seen this discussed in Discord, and has been happening to me: aliens seek cover first and then launch grenades that detonate against the cover and blow up the alien itself. Not a sound strategy, PV fellows!
Today was the top: trying to get a alien nest mutant which had only 2 HP left, I gathered my team in a choke point and saw four of the soldiers consecutively miss their shots! And with all rallied in a single point, it would be so easy for the alien to grenade them all. Which it did, but only after securing its precious cover.
End result, alien lasagna for dinner and five very surprised soldiers.