I'd go with Danger Zone; eventually ya get a talent that gives ya 2 rockets to use. And of course the range (for firing) + the new radius is larger, so that's a LOT of destroyed cover and heavier damage. That being said, my Heavy last game still carried a grenade with anyway to use when it was more convenient and save a rocket.
Grenades are still useful for destroying enemies' cover and depleting enemies' health by a fixed amount for capturing purposes, but they're kind of redundant on a Heavy.
Heavies are most effective when specialized, so they're typically either going to be built to suppress the enemy or blow things up. The latter will want as many explosives as possible because they shouldn't be firing their main gun. I find that an extra grenade is a little more consistently useful than bigger rockets in this case. You should also consider that the larger area of effect is not always a good thing.
I like to keep my Heavy up close to the front line if not the front line so I personaly like that extra grenade to blow up cover plus dont forget the Double damage against robotic foes when you take HEAT Ammo.