OK. Given some thoughts on the topic.
First of all, we have two weapons with slightly different stats - the rifle and shotgun, fully upgraded rifle does a bit more plasma damage, and fully upgraded shotgun doing physical damage with better critical chance.
Then we have second skills: piercing shot (increased damage, good vs armor), concussive strike (a bit of physical dmg and reduces enemy's iniative for 3 turns), adaptive nanites (heal by 20 for 3 turns), and bloodlust (+20% dmg for 3 turns).
Then we have heavy skills: explosive grenade (good damage, good vs armor), cryo grenade (half as much damage, freezes enemies for 2 turns), and fire grenade (half damge, set on fire for 3 turns).
The thing is I can't switch anything mid-fight (obviously). Basically, that means that I have to choose some set that'll be good or at least viable against most enemies. Most enemies are slightly vulnerable to energy (except deeper xenos), robotic and deeper xenos are also vulnerable to corrosive and piercing damage (robotic also have some strong resistances, against fire, for example).
So, the weapons are more or less equal, with rifle being more consistent in terms of damage output (and shotgun maybe statistically slightly better against deeper xenos).
Second skill - piercing shot is perfect addition to plasma (and shotgun, too) as there are no one with resistance to piercing. Concussive strike that just slightly delays enemy's actions (thus giving a little chance to kill it before it acts) doesn't look appealing to me. Adaptive nanites are somewhat interesting, as deeper xenos do noticeable damage, but on higher floors is totally covered by allies (good for solo, maybe, but I'm coop man). Bloodlust is basically a negative skill (20% damage boost for 3 turn, but skip every 3rd turn of shooting, at least description doesn't say agent will shoot in same turn with skill activation).
Piercing shoot - good (guaranteed good damage of different type from main weapon). Concussive strike - basically, enemy MAYBE skips one last attack, made it 20% to 30% enemy's damage reduction (maybe even 35%). Adaptive nanites - looks better than in the beginning of the game, still, some 10% reduction on ALL incoming damage (and corruption and/or maybe chance to avoid debuff) will look even better! Bloodlust is... well, lacking. Look at piercing shot and turn bloodlust, for example, in a basic shot with doubled crit chance and then reduce that bonus, like, x1.75 on second shot, and x1.5 on third. That will definitely work great with shotgun and will please risky-gambler people. To summarize: one second skill aimed at rifle (piercing shot, check), one second skill aimed at shotgun (adjusted bloodlust), some universal offensive (concussive strike) and some universal defensive (nanites). With such approach, better adjustment for concussive strike is not weakening enemy's attack, but enemy's defense, like, some +25% on incoming damage to that enemy (an extra chance for allies to shine).
Grenades. Basic grenade is rahter useless - on higher floors agent is still too weak to get damage boost from stats, on lower floors enemies are too tough for it to have meaningful impact. Fire grenade - AoE DoT is good against larger groups of weaker enemies, but most of the time there only two or three of them (and solo on higher floors). Cryo grenades - all your enemies are paused for free shooting... The only thing I can think of is adjust/balance blast/DoT so, firstly, it's appealing at all, like, a chance to (almost) one-shot regular enemies - some 10% chance for basic grenade to do, say, triple damage, separate for each enemy. Secondly, balance numbers so it'll be hard choice.
The logic of adjustment is simple: offensive skills make combat faster (less turns to kill enemies), defensive ensure that agent's received damage is noticeably lower than without them (and even if using offensive skills). Just take some estimation of per-turn damage output of agent's expected team and effective HPs of expected enemy unit, and vice versa, and calculate expected combat length and received damage/corruption (there are a few complications, like number of enemies still alive affecting their damage output and effects of healing abilities).
Sorry for "wall of text", the topic suddenly is quite captivating (yep, I love numbers).