As a civilian, especially one with a criminal record, that former NCIS agent would have been subject to search when he entered the Washington Navy Yard. Everyone, including military and NCIS personnel, at the very least have to go through a metal detector when entering a federal building like NCIS headquarters. So not only would the former agent have been patted down and searched at the gate, he would also have gone through a metal detector when entering the building. So it should have been impossible for him to enter with a training grenade on his person.
A tracking device using a Bluetooth signal would be very impractical, because Bluetooth devices have a very limited range. "Lump" would not have been able to track the money to NCIS headquarters in the Washington Navy Yard from his location in Alexandria, therefore Abby would not of been able to find out the location of the person tracking the money. The distance from the Washington Navy Yard to Alexandria, Virginia is approximately 9.2 miles, far beyond the range of even the most powerful type of Bluetooth signal, which has a range of 400 feet at the most. There are some custom built devices intended to "hijack" data from a Bluetooth signal, but even they have a range of no more then a mile.