It looks like on certain conditions, no weapon hit sound is played, whereas hit or death screams are heard (not always, though).

Those conditions seem to be:
- no visibility (smoke, cover) ?
- use of explosive damage type ?
(I took another screenshot when a Bolter kills a guessed CHN target through smoke, but I'm not sure about what sound I didn't heard...)
It's clearly not a matter of distance to target.

First screenshot features firing a HE grenade (GL) through smoke, the stunned target being in the open at the bottom of the screen.
The scout revealed that the grenade did explode.

Second screenshot features firing two HE grenades (GL) and one HE rocket to the same target, on the top of the screen, an quite covered (reduced damaged). Only the weapon on the ground, after the rocket was launched and had disappeared without any sound, let suspect that the three explosions took place.

In neither case, an explosion was heard!