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Do monsters make opening shots? I didn't see anything about it in the rules.

If they are armed with something that can hit at range, they do. The actual text is more implied than specific, but the descriptions include opponents as well as the player characters.

LMB - pg. 41

... normally, all combatants are entitled to one single volley using a bow or a thrown weapon (a spear).

... the exchange is considered to take place simultaneously, and so its effects are applied to player-heroes and their opponents at the same time.