The American Captain has a special ability which ensures he always gets a cover save whenever he gets hit.
Grenades, when rolled, do not allow any cover saves after hitting.
Which rule/ability supercedes which, and why? :-D
The Hero ability is a special one that always applies, so cards with the Hero ability will receive a save, even against grenades. Consider it to be a heroic save, rather than a cover save. Note: he'll only get a single save, so if a Captain is hit when he's in cover, he'll only get 1 chance to save his skin, not 2.
The reason is that we want the heroes to have a chance to be heroic in all circumstances; it can add to the drama. I had a game where my lonely sole surviving Captain was able to survive and retake a building on his own because of heroic saves. There's always a slim chance for a hero.