Why? This is the constant refrain of the "hot fusion" types who adamantly attack LENR/CF. What makes you think Mother Nature will confine herself only to the mechanisms known to occur in plasma physics?? Chemists well know that low-probability reaction mechanisms occur much more strongly when they occur on surfaces as opposed to "free space". All catalysts are based on that science. That an analogous phenomenon should occur for nuclear reactions shouldn't surprise anyone.
"Part of the energy could go to gamma, or into the kinetic energy of the fusion end product. Still, you are talking about a reaction that is exothermic on the level of MeVs!
OR, it could be transferred into the lattice, which is what the available evidence suggests. Gamma rays (and neutrons, and charged particle emission) all occur in LENR, but the data says that those are not the primary pathway of energy transfer by several orders of magnitude.
Very careful work has been done in the Pd/D2 system that shows that 1) Helium is by far the main product, and 2) that the amount of helium so formed and the amount of heat released is a very close approximation to the mass deficit between D2 and He4:
Miles, M., et al., Correlation of excess power and helium production during D2O and H2O electrolysis using palladium cathodes. J. Electroanal. Chem., 1993. 346: p. 99
The above paper can be found in full at LENR/CANR.org:
http://www.lenr-canr.org/acrobat/MilesMcorrelatio.pdf
LENR/CANR.org is nothing more than a cold fusion blog.