My opinion is that they don't. Why? If you are an Empire soldier you are used to warmachines blowing up all the time:)
However, I would say that it does cause panic, just like I would want it to cause panic in Skaven weapons teams when they blow themselves up.
I just think it is bizarro, that a unit of 30 that watches a unit of 29 flee by them, doesn't take a panic check, but an artillery piece blowing itself up would. Then again, common sense and warhammer have nothing to do with each other.