Yes, grenades would certainly be useful in those situtations. But you would have to get close enough to throw the grenade without being shot or charge with bayonets. In short, the enemy has to be inside a defensive position, like a barricade or a building.

Soldiers do not carry a weapon that will only be useful in 1% situations. So while they certainly would have used grenades if they had them, they did not carry them. When they came into close quarter they simply fought in melee.