I get this bug quite often on live builds. About 40% of the time the 40mm won't make smoke on impact and about 60% of those instances a smoke-impact sound plays; however, if anyone passes through that area without a mask they don't cough so I assume it fails for everyone on the server (not just visually for me). I have seen it very rarely occur with canister grenades, and very rarely have I gotten the double firing animation (and accompanying double sound) with 40mm—those double-fire instances seem 50% chance of smoke not producing (w/ or w/o impact sound) and only one 40mm ever comes out if at all.
Seems like a collision detection issue; I think i notice it more when the 40mm passes through (solid/semi-solid) objects (eg crates, canopies, window frames, vehicles, etc.) and at a lesser rate the terrain.
This could also be influenced by ping; I noticed all sorts of projectile collision issues when ping is around 100ms—which should not be unreasonable for any multiplayer game since that's approaching the average delay between one continent jump or ocean (over 150ms is a different story).