Yes, power damage bonuses are applied to grenades.

You can actually see this happen - the damage numbers displayed on the upgrade screen are updated when you take power bonus upgrades. So if you have some level-up points to spend, you can check the amount of damage that your grenades are doing, take an upgrade that provides a power damage bonus, and check the grenade damage again. The number will have increased. (If you're unhappy with what you see, make sure you undo the changes before exiting the powers screen!)

I used the method above to verify that power damage bonuses applied to the cluster grenades on my Drell Vanguard. I don't have an Infiltrator in a state where I can check the sticky grenades, but I can't imagine why it would be different.

I tested this using a Vanguard with access to both Cryo Ammo and Incendiary Ammo at the Shooting Range on the Citadel, with an M-3 Predator with a base ammo capacity of 105 (90 + 15 in Clip).

After learning the Rank 5 Incendiary Ammo upgrade for increased capacity, my max ammunition remained the same until I activated Incendiary Ammo. After activating the power, the clip size remained at 15, but my reserve capacity jumped from 90 to 116, for a total of 131 rounds.

I then learned the upgrade for Cryo Ammo. When activated, the reserve ammunition jumped to 116 again, clip size remained unaffected.

No, they do not stack, and Yes, they only work when the Ammo Power is currently activated.

_{Further testing needed: Whether a Squad Ammo upgrade at Rank 4 combined with increased capacity from Rank 5 increases ammo capacity for the whole squad.
Edit:Yes.}