First, if it was some weird crazy fictional death ray...I just think that would be too fanciful. The sonic fence is sci-fi enough. Plus it would start a bunch of new questions like "Is this Widmore from the future?" yada yada
Second, I've never been on the receiving end of artillery, but I've seen some videos and it is freaky as hell. It's partly why the term "shell shocked" began in WW1. Yeah, MIB didn't flinch, but he's been shot and stabbed so it was more to show that he is still invinsible.
Finally, I really don't want to sound like some military expert because I'm not, but as far as Zoe calling in her position before the explosion, when a soldier calls in artillery, the first thing they do is give their own position, so that way it doesn't land on them. Zoe may have just been making sure the warning shot would be far enough away from her.