[I don't think it was the anti-war message. I believe the Immaterial Girl was worried about violating New York City's tough new anti-smoking laws. That grenade scene actually depicts graphic tobacco use. From the NY Times:]
In the final sequence Madonna tossed a grenade into the fashion-show audience, and it was caught by a George W. Bush look-alike, who flipped open its top to reveal it as a cigarette lighter and lighted a cigar with it.
<http://www.nytimes.com/2003/04/02/arts/music/02MADO.html>
Carl
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