Simply as the title says.
it feels like of silly that 20 years in the future, the magic of smoke grenades has been lost to all but xcom personnel.
It also adds another layer of "oh shit oh fuck" to the shieldbearers.
I've already implemented this in a mod before (better advent captains and shieldbearers), and my approach was to just have the shieldbearers try to friendlyfire with a grenade, and give them smoke, and it seemed to work pretty well.
You could even go the extra mile and give them special "smart" smoke grenades, that only apply very minor concealment to non-advent units (We can have smart macrophages, why not smart smoke?).
Edit: also I think exalt did it in EW - I remember seeing it at least once.