In the early stage of the game, frag rockets are free and unlimited. I found that a squad with rockets, clear aliens more quickly and risk-free (almost 1 kill per shot and it rarely misses), whereas a gun usually misses and an Alien kills my troops with a single burst shot.
As I know from XCOM: Enemy Unknown, killing aliens with explosions will destroy its corpses, which are needed for crafting and researching.
However, I am new to Xenonauts and am wondering if there are any drawbacks to using explosive weapons such as grenades and rockets.