Generally I’d define the the sound inside the abject that’s using it. So if the grenade handles its own explosion the grenade would play the sound from it’s OnExplode event.
If you have to define the sound in the weapon, add a variable to the grenade called Weapon and set the variables ExposeOnSpawn to true. In your weapon class, when you spawn the grenade with SpawnActorFromClass there’ll be a pin on the spawn node for your weapon where you can set it to Self.