'up to 4' is a glquakeism
one of the mission packs has an eel. that's the only official use of skingroups that I can think of.
like framegroups, the frame used is non-linear with time. unless you're using glquake which is again broken.

if you're making a model that uses them, don't expect all engines to be as broken.

CuTF uses skingroups on the telepads to give a bit of animation. These entities also use colormaps, so colourmapping skin groups is indeed useful (albeit painful).
Tbh if its colourmapped you can get away with just ignoring the extra frames if it means you get colourmapping instead. Whether that's the 'correct' behaviour or not is a different matter.

I don't know about the grenades. For lights blinking on their sides it makes sense that they would have framegroups.
.