There are a few questions I get about grunting a lot. Here are my answers.
1) Why do players sometimes grunt or shriek when they hit the ball?
A) The more intense a match and player (personalities range greatly) the more likely you are to hear some noise from the shot-makers. Watch TV or go see pro tennis, if you can get up close you will see just about every pro grunts at certain times, even Federer. The intensity of the match brings out an unconscious and audible exhalation. Its the same as intense weight lifters or martial artists. The reasons they do this is to expel energy. What you are hearing is really just an audible breath. Its the sound of tension leaving the body at contact. A player needs to maintain a relaxed body while competing in a very physical and stressful environment, so breathing (doesn't have to be audible) is essential.
2) Do they have to do it? Is it on purpose?
A) No. They have to breath, but the breath doesn't have to be audible. I would guess that some players exaggerate the sound of their exhalation to distract their opponent, meaning its a conscious act to give them an advantage, but for the most part it occurs without the player knowing it. I have done it myself many times, sometimes I hear it happening and try to control it, but the deeper I get into the zone, the more focused I get on just playing good tennis, and often am told by others I was doing it. I think the same holds true for most players. I really don't think many are doing it on purpose.
3) Do coaches teach players to do it?
A) No. Of course I can't be sure every coach in the world has not taught it, but I have never in all my years met or even heard of a coach actually teaching someone to grunt. Coaches teach breathing techniques at contact, but not grunting. In fact I have known coaches to tell their players to keep the noise down.
4) Does grunting make your shot better?
A) Yes, studies show it does actually have a positive affect on your shot quality in both pace and precision. There are even some studies that found opponents have a slower reaction time when the ball is hit by a player who grunts as apposed to a player who doesn't. But please don't start grunting to see if the ball goes faster off your racquet, the difference is negligible and if you were doing it for that reason that borders on unethical play in my opinion. But if you are a unintentional grunt-er and have tried to stop, don't. Its you, be yourself and offer no apologies.
When I see players like Azarenka screaming when they hit it, I admit that it really is distracting; as a fan. If I were playing her, I would not be distracted by the sound. If I were coaching a player playing her I would use the sound as a teaching point, and tell them we play a sport that for the most part is one of the quietest sports you can play, other athletes have to deal with so many more audible distractions than tennis players. If a player needs to grunt when they hit, even if its high pitched and annoying, let them, and don't let it bother you. If its bothering you, I hate to be the bearer of bad news, and I know its so very unfair but the problem lies within you.