Ukraine

If it can find and approach the balloon close enough to set off a grenade, I'd probably want to target the UAV more than the balloon. If the UAV is still functional when the balloon is shredded, it could potentially just be deployed early and find a target of opportunity on the way down. Which leads to another point, if a hostile is detected inbound, they again could just launch the UAV and find something for it to go after - it wouldn't surprise me if there was a list of contingency targets along the projected route.

When your balloon needs to lift 15 kg to 5 km, it suddenly becomes significantly expensive. According to the internet™, you need 14 cubic meters of helium, which alone would be like $700. You will also expect to lose half of them to random winds, so you need to launch at least 20.

Also, 15 kg drone is not that much destructive, it only carries 5 kg of payload, while Shahed typically carries 50 kg.

The "hard to counter" thing is arguable, because yeah, anything that's up there reflecting radar can theoretically be shot down (and probably by something cheaper yet). They might not be set up to detect and attack balloons right now, though. I mean, even NORAD famously wasn't for a while.