The problem is that the 40mm grenade can do the same thing when in close enough quarters for the 40mm shotgun to be a one shot kill, and really isn't that much harder to aim the 40mm grenade to get that one-shot-kill at that range.
When we combine the 40mm grenade's usefulness to inflict damage at long ranges as well as its invaluable ability as a tool to clear trees/shrubs/walls I find it hard not to go with the 40mm grenade over the 40mm shotgun.
That's not to say the shotgun isn't far more satisfying and fun, I think it is, I just think the 40mm grenade is far more useful/well-rounded/practical. The ability to breach walls and destroy cover can be far more valuable IME than to have an alternate weapon.
Of course there's the 40mm smoke which can also score direct hit kills at close quarters identically to the 40mm grenade, but it puts up the far too undervalued/underutilized smoke screen.