Yes, unless you want to claim they are supernatural then they are bound by the laws of physics, you don't get to violate physics by "being a different type of being".
Not a full grasp, but we have a very strong idea of the boundaries. And it's not just from Earthly experiments, what we can see from looking at everything from the behavior of the middle of the sun to light from distant stars shows us that the known universe appears to be following the same rules.
I put a lot more faith in the collective results of the studies of all the world's combined scientists than I do in the individual tales of random military grunts who were tired and spooky one night.