Except that, by using a Salvadoran grenade, it might just turn suspicion away from them. Remember the Feds' Crown Victorias that went kaboom at the beginning of the episode?
And I do believe there was a threat (veiled or otherwise) against the Strike Team when they took down the Salvadorans yet again during the cocaine bust. Or, at least the Feds were convinced there would be retaliation.
Again, I don't think Shane is smart enough to come with something like that on his own.
I don't know if it was explained in the episode, but why didn't Shane have a tail following him that night? Who could have given him that kind of out?
When Vic finds out that Shane didn't have a tail he will put 2 & 2 together. Shane told Vic he was late because he was trying to shake off his tail.