By mentioning 'large crates of unknown content...From..dangerous Communists', Ravenner is suggesting that the boxes could have contained all sorts of dangerous items, particularly weapons.
By saying 'nothing exploded' - he is saying that they didn't contain explosives - they were not weapons, but artworks.
"What say?" seems odd to me. It could either be 'What, for example?', or reversed way of saying 'Say what?' as in 'I don't understand, or please repeat'. My guess is the first. He is asking what didn't explode, again suggesting there may have been an explosive.